Convergence rate of nonlinear delayed neutral McKean-Vlasov SDEs driven by fractional Brownian motions
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arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2024
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| _version_ | 1866910624732151808 |
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| author | Wang, Shengrong Xie, Jie Tan, Li |
| author_facet | Wang, Shengrong Xie, Jie Tan, Li |
| contents | In this paper, our main aim is to investigate the strong convergence for a neutral McKean-Vlasov stochastic differential equation with super-linear delay driven by fractional Brownian motion with Hurst exponent $H\in(1/2, 1)$. After giving uniqueness and existence for the exact solution, we analyze the properties including boundedness of moment and propagation of chaos. Besides, we give the Euler-Maruyama (EM) scheme and show that the numerical solution converges strongly to the exact solution. Furthermore, a corresponding numerical example is given to illustrate the theory. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2406_09678 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Convergence rate of nonlinear delayed neutral McKean-Vlasov SDEs driven by fractional Brownian motions Wang, Shengrong Xie, Jie Tan, Li Numerical Analysis Probability In this paper, our main aim is to investigate the strong convergence for a neutral McKean-Vlasov stochastic differential equation with super-linear delay driven by fractional Brownian motion with Hurst exponent $H\in(1/2, 1)$. After giving uniqueness and existence for the exact solution, we analyze the properties including boundedness of moment and propagation of chaos. Besides, we give the Euler-Maruyama (EM) scheme and show that the numerical solution converges strongly to the exact solution. Furthermore, a corresponding numerical example is given to illustrate the theory. |
| title | Convergence rate of nonlinear delayed neutral McKean-Vlasov SDEs driven by fractional Brownian motions |
| topic | Numerical Analysis Probability |
| url | https://arxiv.org/abs/2406.09678 |