Strong convergence of tamed theta scheme for superlinearly growing McKean-Vlasov NSDDEs driven by fractional Brownian motions

2024/10/17 by Liguo Tan, Tan, Li, Hu, Shizhong +1
Economics, Econometrics and Finance · #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2410.13233

openalex publication_date 2024/10/17 · openalex created_date 2024/10/20 · openalex updated_date 2026/07/28

Abstract

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∈(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.

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