You’ll get an error like this if your project path has characters like é or ü or Ô in it.

// Error: [driver_exr] defaultArnoldDriver@driver_exr.RGBA: can't create file ".exr": OpenEXR exception: Permission denied. //

// Error: [driver_jpeg] defaultArnoldDriver@driver_jpeg.RGBA: can't create file ".jpg": Unable to open file ".jpg”

// Error: [driver_png] defaultArnoldDriver@driver_png.RGBA: can't create file ".png": Could not open file ".png"

Arnold can’t create the output file, because the special characters mess up the resolution of the output path, which ends up as an empty string.

So with no path provided, the ouput driver tries to write “.jpg” in the current working directory, which is probably something like C:\Program Files\Autodesk\Maya2018.

Use plain text characters for your project folders.