Utku Erdogan, Gabriel J. Lord, Roy B. Schieven
We examine the numerical approximation of a quasilinear stochastic differential equation (SDE) with multiplicative fractional Brownian motion. The stochastic integral is interpreted in the Wick-Itô-Skorohod (WIS) sense that is well defined and centered for all $H\in(0,1)$. We give an introduction to the theory of WIS integration before we examine existence and uniqueness of a solution to the SDE. We then introduce our numerical method which is based on previous theoretical results for $H\geq \frac{1}{2}$. We construct explicitly a translation operator required for the practical implementation of the method and are not aware of any other implementation of a numerical method for the WIS SDE. We then prove a strong convergence result that gives, in the autonomous case, an error of $O(Δt^H)$ and in the non-autonomous case $O(Δt^{\min(H,ζ)})$, where $ζ$ is a time-Hölder continuity parameter. We present some numerical experiments and conjecture that the theoretical results may not be optimal since we observe numerically a rate of $\min(H+\frac{1}{2},1)$ in the autonomous case. This work opens up the possibility to efficiently simulate SDEs for all $H$ values, including small values of $H$ when the stochastic integral is interpreted in the WIS sense.