An explicit Euler method for McKean-Vlasov SDEs driven by fractional Brownian motion

Abstract

In this paper, we establish the theory of chaos propagation and propose an Euler-Maruyama scheme for McKean-Vlasov stochastic differential equations driven by fractional Brownian motion with Hurst exponent $H\in (0,1)$. Meanwhile, upper bounds for errors in the Euler method is obtained. A numerical example is demonstrated to verify the theoretical results.