An explicit Euler method for McKean-Vlasov SDEs driven by fractional Brownian motion
Numerical Analysis
2022-09-13 v1 Numerical Analysis
Probability
Abstract
In this paper, we establish the theory of chaos propagation and propose an Euler-Maruyama scheme for McKean-Vlasov stochastic differential equations driven by fractional Brownian motion with Hurst exponent . Meanwhile, upper bounds for errors in the Euler method is obtained. A numerical example is demonstrated to verify the theoretical results.
Cite
@article{arxiv.2209.04574,
title = {An explicit Euler method for McKean-Vlasov SDEs driven by fractional Brownian motion},
author = {Jie He and Shuaibin Gao and Weijun Zhan and Qian Guo},
journal= {arXiv preprint arXiv:2209.04574},
year = {2022}
}