Convergence rate in L^p sense of tamed EM scheme for highly nonlinear neutral multiple-delay stochastic McKean-Vlasov equations

2023/02/20 by Shuaibin Gao, Qian Guo, Gao, Shuaibin +5 · 1 citation
Engineering · Mathematics · Physics and Astronomy · #FOS: Mathematics #Fluid Dynamics and Turbulent Flows #Gas Dynamics and Kinetic Theory #Numerical Analysis (math.NA) #Statistical Mechanics and Entropy

paper · pdf · doi:10.48550/arxiv.2302.09724

openalex publication_date 2023/02/20 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This paper focuses on the numerical scheme of highly nonlinear neutral multiple-delay stohchastic McKean-Vlasov equation (NMSMVE) by virtue of the stochastic particle method. First, under general assumptions, the results about propagation of chaos in L^p sense are shown. Then the tamed Euler-Maruyama scheme to the corresponding particle system is established and the convergence rate in L^p sense is obtained. Furthermore, combining these two results gives the convergence error between the objective NMSMVE and numerical approximation, which is related to the particle number and step size. Finally, two numerical examples are provided to support the finding.

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• The adaptive EM schemes for McKean-Vlasov SDEs with common noise in finite and infinite horizons

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