Milstein’s type schemes for fractional SDEs

E|Bt −Bs| = cp|t− s| , s, t ∈ [0, 1], with cp = E(|G|), G ∼ N (0, 1), and, consequently, almost all sample paths of B are Hölder continuous of any order α ∈ (0,H). The study of stochastic differential equations driven by B has been considered by using several methods. For instance, in [22] one uses fractional calculus of same type as in [25]; in [2] one uses rough paths theory introduced in [11], and in [19] one uses regularization method used firstly in [23]. In the present paper, we consider the easiest stochastic differential equation involving fractional Brownian motion, that is