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