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Strong convergence of a tamed theta scheme for McKean-Vlasov NSDDEs driven by fractional Brownian motion (2410.13233v1)

Published 17 Oct 2024 in math.PR, cs.NA, and math.NA

Abstract: In this article, we propose a tamed theta Euler-Maruyama (EM) scheme for superlinearly growing neutral McKean-Vlasov stochastic differential delay equations driven by fractional Brownian motion with Hurst exponent $H\in(1/2,1)$. The analytical properties including uniqueness and existence, boundedness of moment and propagation of chaos are investigated. Moreover, the convergence rate of the numerical scheme is established.

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