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

Autor:	Gao, Shuaibin, Guo, Qian, Hu, Junhao, Yuan, Chenggui
Rok vydání:	2023
Předmět:	Mathematics - Numerical Analysis
Druh dokumentu:	Working Paper
Popis:	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 $\mathcal{L}^p$ sense are shown. Then the tamed Euler-Maruyama scheme to the corresponding particle system is established and the convergence rate in $\mathcal{L}^p$ 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.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2302.09724 Zobrazit plný text záznamu View this record from Arxiv