Strong convergence of tamed theta scheme for superlinearly growing McKean-Vlasov NSDDEs driven by fractional Brownian motions
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| Format: | Preprint |
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2024
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| _version_ | 1866912671216959488 |
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| author | Tan, Li Hu, Shizhong Wang, Shengrong |
| author_facet | Tan, Li Hu, Shizhong Wang, Shengrong |
| contents | In this article, we study the McKean-Vlasov neutral stochastic differential delay equations driven by fractional Brownian motion with super-linearly growing coefficients, where the Hurst exponent $H\in(1/2,1)$. The existence and uniqueness of the exact solution were shown by the Picard iteration. Besides, we propose a tamed theta Euler-Maruyama scheme for this equation, analyzed the moment boundness and propagation of chaos etc. Moreover, the convergence rate of the numerical scheme is established. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2410_13233 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Strong convergence of tamed theta scheme for superlinearly growing McKean-Vlasov NSDDEs driven by fractional Brownian motions Tan, Li Hu, Shizhong Wang, Shengrong Probability Numerical Analysis In this article, we study the McKean-Vlasov neutral stochastic differential delay equations driven by fractional Brownian motion with super-linearly growing coefficients, where the Hurst exponent $H\in(1/2,1)$. The existence and uniqueness of the exact solution were shown by the Picard iteration. Besides, we propose a tamed theta Euler-Maruyama scheme for this equation, analyzed the moment boundness and propagation of chaos etc. Moreover, the convergence rate of the numerical scheme is established. |
| title | Strong convergence of tamed theta scheme for superlinearly growing McKean-Vlasov NSDDEs driven by fractional Brownian motions |
| topic | Probability Numerical Analysis |
| url | https://arxiv.org/abs/2410.13233 |