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Convergence rate of nonlinear delayed neutral McKean-Vlasov SDEs driven by fractional Brownian motions (2406.09678v2)
Published 14 Jun 2024 in math.NA, cs.NA, and math.PR
Abstract: 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.