Convergence rate of nonlinear delayed neutral McKean-Vlasov SDEs driven by fractional Brownian motions

Shengrong Wang, Jie Xie and Li Tan

Applied Mathematics and Computation, 2025, vol. 502, issue C

Abstract: The primary objective of this paper is to explore the strong convergence for a neutral McKean-Vlasov stochastic differential equation with super-linear delay driven by fractional Brownian motion with Hurst exponent H∈(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 convergent to the true solution strongly. Furthermore, a related example is given to illustrate the theory.

Keywords: Neutral McKean-Vlasov SDEs; Super-linear delay; Fractional Brownian motion; Strong convergence rate; EM scheme (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:502:y:2025:i:c:s0096300325002048

DOI: 10.1016/j.amc.2025.129478

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