Conditional McKean–Vlasov stochastic differential equations driven by fractional Brownian motions

Guangjun Shen and Jiangpeng Wang

Chaos, Solitons & Fractals, 2025, vol. 196, issue C

Abstract: In this paper, we are concerned with a class of McKean–Vlasov stochastic differential equations with Markovian regime-switching driven by fractional Brownian motions with Hurst parameter H>12. We first obtain the existence and uniqueness theorem for solutions of the concerned equations under the non-Lipschitz conditions. Second, we establish the propagation of chaos for the associated mean-field interaction particle systems with common noise and provide an explicit bound on the convergence rate. At last, an averaging principle is investigated with respect to two time-scale conditional McKean–Vlasov stochastic differential equations.

Keywords: Conditional McKean–Vlasov SDEs; Fractional Brownian motions; Markovian regime-switching; Propagation of chaos; Averaging principle (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:196:y:2025:i:c:s0960077925003613

DOI: 10.1016/j.chaos.2025.116348

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