Euler-Maruyama method for distribution dependent stochastic differential equation driven by multiplicative fractional Brownian motion
Probability
2025-12-22 v1
Abstract
In this paper, we establish the propagation of chaos and Euler-Maruyama method of DDSDE driven by multiplicative fractional Brownian motion with Hurst parameter . We have not only obtained an upper bound for the error of the Euler-Maruyama method but also verified the correctness of this result via systematic numerical simulation experiments.
Keywords
Cite
@article{arxiv.2512.17300,
title = {Euler-Maruyama method for distribution dependent stochastic differential equation driven by multiplicative fractional Brownian motion},
author = {Guangjun Shen and Jiangpeng Wang and Xuekang Zhang},
journal= {arXiv preprint arXiv:2512.17300},
year = {2025}
}