An explicit Euler-Maruyama method for McKean-Vlasov SDEs driven by fractional Brownian motion

被引：2
|
作者：
He, Jie [1 ]
Gao, Shuaibin [2 ]
Zhan, Weijun [3 ]
Guo, Qian [2 ]
机构：
[1] Jiangsu Second Normal Univ, Dept Math, Nanjing 210013, Peoples R China
[2] Shanghai Normal Univ, Dept Math, Shanghai 200234, Peoples R China
[3] Anhui Normal Univ, Dept Math, Wuhu 241000, Peoples R China
来源：
COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION | 2024年 / 130卷
基金：
中国国家自然科学基金;
关键词：
Propagation of chaos; Explicit Euler-Maruyama method; McKean-Vlasov SDEs; Fractional Brownian motion; Interacting particle system; DISTRIBUTION DEPENDENT SDES; PARTICLE METHOD; CONVERGENCE; FLUCTUATIONS; DYNAMICS;
D O I：
10.1016/j.cnsns.2023.107763
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we establish the theory of propagation of chaos and propose an Euler-Maruyama method for McKean-Vlasov SDEs driven by fractional Brownian motion with Hurst parameter H is an element of (0, 1/2) boolean OR (1/2, 1). Meanwhile, upper bounds for errors in the Euler-Maruyama method are obtained. Two numerical examples are demonstrated to verify the theoretical results.
引用
收藏
页数：16
相关论文
共 50 条
  • [1] Approximations of the Euler-Maruyama Method of Conditional McKean-Vlasov SDEs with Markovian Switching
    Zhen, Yuhang
    Ji, Huijie
    MARKOV PROCESSES AND RELATED FIELDS, 2024, 30 (03)
  • [2] The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion
    Gao, Xiangyu
    Wang, Jianqiao
    Wang, Yanxia
    Yang, Hongfu
    STATISTICS & PROBABILITY LETTERS, 2022, 189
  • [3] Euler-Maruyama Approximations for Stochastic McKean-Vlasov Equations with Non-Lipschitz Coefficients
    Ding, Xiaojie
    Qiao, Huijie
    JOURNAL OF THEORETICAL PROBABILITY, 2021, 34 (03) : 1408 - 1425
  • [4] Harnack inequalities for McKean-Vlasov SDEs driven by subordinate Brownian motions
    Deng, Chang-Song
    Huang, Xing
    JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2023, 519 (01)
  • [5] Strong convergence of Euler-Maruyama schemes for doubly perturbed McKean-Vlasov stochastic differential equations
    Wu, Dongxuan
    Zhang, Yaru
    Xu, Liping
    Li, Zhi
    COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION, 2024, 132
  • [6] THE TAMED EULER-MARUYAMA APPROXIMATION OF MCKEAN-VLASOV STOCHASTIC DIFFERENTIAL EQUATIONS AND ASYMPTOTIC ERROR ANALYSIS
    Liu, H. U. A. G. U., I
    Wu, F. U. K. E.
    Wu, M. I. N. Y. U.
    DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES S, 2023, 16 (05): : 952 - 978
  • [7] Averaging Principle for McKean-Vlasov SDEs Driven by FBMs
    Zhang, Tongqi
    Xu, Yong
    Feng, Lifang
    Pei, Bin
    QUALITATIVE THEORY OF DYNAMICAL SYSTEMS, 2025, 24 (01)
  • [8] An adaptive Euler-Maruyama scheme for McKean-Vlasov SDEs with super-linear growth and application to the mean-field FitzHugh-Nagumo model
    Reisinger, Christoph
    Stockinger, Wolfgang
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2022, 400
  • [9] Averaging Principle for McKean-Vlasov SDEs Driven by FBMsAveraging Principle for McKean–Vlasov SDEs Driven by...T. Zhang et al.
    Tongqi Zhang
    Yong Xu
    Lifang Feng
    Bin Pei
    Qualitative Theory of Dynamical Systems, 2025, 24 (1)
  • [10] CONVERGENCE OF THE EULER-MARUYAMA METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY G- BROWNIAN MOTION
    Liu, Cunxia
    Lu, Wen
    BULLETIN OF THE KOREAN MATHEMATICAL SOCIETY, 2024, 61 (04) : 917 - 932
12345