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.
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页数：16
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