Numerical scheme for delay-type stochastic McKean-Vlasov equations driven by fractional Brownian motion
<|reference_start|>Numerical scheme for delay-type stochastic McKean-Vlasov equations driven by fractional Brownian motion: This paper focuses on the numerical scheme for delay-type stochastic McKean-Vlasov equations (DSMVEs) driven by fractional Brownian motion with Hurst parameter $H\in (0,1/2)\cup (1/2,1)$. The existence and uniqueness of the solutions to such DSMVEs whose drift coefficients contain polynomial delay terms are proved by exploting the Banach fixed point theorem. Then the propagation of chaos between interacting particle system and non-interacting system in $\mathcal{L}^p$ sense is shown. We find that even if the delay term satisfies the polynomial growth condition, the unmodified classical Euler-Maruyama scheme still can approximate the corresponding interacting particle system without the particle corruption. The convergence rates are revealed for $H\in (0,1/2)\cup (1/2,1)$. Finally, as an example that closely fits the original equation, a stochastic opinion dynamics model with both extrinsic memory and intrinsic memory is simulated to illustrate the plausibility of the theoretical result.<|reference_end|>
@article{gao2024numerical,
    title={Numerical scheme for delay-type stochastic McKean-Vlasov equations
  driven by fractional Brownian motion},
    author={Shuaibin Gao, Qian Guo, Zhuoqi Liu, Chenggui Yuan},
    journal={arXiv preprint arXiv:2405.16232},
    year={2024},
    archivePrefix={arXiv},
    eprint={2405.16232},
    primaryClass={math.NA cs.NA math.PR}
}