Euler-Maruyama method for distribution dependent stochastic differential equation driven by multiplicative fractional Brownian motion
Fuente:
arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866914209829224448 |
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| author | Shen, Guangjun Wang, Jiangpeng Zhang, Xuekang |
| author_facet | Shen, Guangjun Wang, Jiangpeng Zhang, Xuekang |
| contents | In this paper, we establish the propagation of chaos and Euler-Maruyama method of DDSDE driven by multiplicative fractional Brownian motion with Hurst parameter $H\in (\frac{\sqrt{5}-1}{2},1)$. 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_17300 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Euler-Maruyama method for distribution dependent stochastic differential equation driven by multiplicative fractional Brownian motion Shen, Guangjun Wang, Jiangpeng Zhang, Xuekang Probability In this paper, we establish the propagation of chaos and Euler-Maruyama method of DDSDE driven by multiplicative fractional Brownian motion with Hurst parameter $H\in (\frac{\sqrt{5}-1}{2},1)$. 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. |
| title | Euler-Maruyama method for distribution dependent stochastic differential equation driven by multiplicative fractional Brownian motion |
| topic | Probability |
| url | https://arxiv.org/abs/2512.17300 |