Euler-Maruyama method for distribution dependent stochastic differential equation driven by multiplicative fractional Brownian motion

Guangjun Shen; Jiangpeng Wang; Xuekang Zhang

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arXiv · 2512.17300

Euler-Maruyama method for distribution dependent stochastic differential equation driven by multiplicative fractional Brownian motion

Guangjun Shen·Jiangpeng Wang·Xuekang Zhang

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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 $H\in (\frac{\sqrt{5}-1}{2},1)$. 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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BibTeX RIS

Guangjun Shen, Jiangpeng Wang, Xuekang Zhang. 2025-12-19. Euler-Maruyama method for distribution dependent stochastic differential equation driven by multiplicative fractional Brownian motion. https://arxiv.org/abs/2512.17300

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