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

DOI10.1016/J.CAM.2023.115682MaRDI QIDQ6145205zbMATH OpenOpenAlexFDO

Authors Shuaibin Gao, Qian Guo, Junhao Hu, Chenggui Yuan

Publication date 30 January 2024

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2302.09724

zbMATH Keywords

propagation of chaosstrong convergence ratetamed Euler-Maruyama schemeneutral multiple-delay stochastic McKean-Vlasov equation

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Functional-differential equations (including equations with delayed, advanced or state-dependent argument) (34Kxx) Probabilistic methods, stochastic differential equations (65Cxx)

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 $mathcal{L}^p$ 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.

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