2000 character limit reached
An explicit Euler method for McKean-Vlasov SDEs driven by fractional Brownian motion
Published 10 Sep 2022 in math.NA, cs.NA, and math.PR | (2209.04574v1)
Abstract: In this paper, we establish the theory of chaos propagation and propose an Euler-Maruyama scheme for McKean-Vlasov stochastic differential equations driven by fractional Brownian motion with Hurst exponent $H \in (0,1)$. Meanwhile, upper bounds for errors in the Euler method is obtained. A numerical example is demonstrated to verify the theoretical results.
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.
Top Community Prompts
Collections
Sign up for free to add this paper to one or more collections.
