Euler-Maruyama method for distribution dependent stochastic differential equation driven by multiplicative fractional Brownian motion
Abstract
In this paper, we establish the propagation of chaos and Euler-Maruyama method of DDSDE driven by multiplicative fractional Brownian motion with Hurst parameter H∈ (5-12,1). We have not only obtained an upper bound for the error of the Euler-Maruyama method but also verified the correctness of this result via systematic numerical simulation experiments.
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