Strong approximation of non-autonomous time-changed McKean-Vlasov stochastic differential equations

摘要

In this paper, we investigate the time-changed McKean-Vlasov stochastic differential equations (MV-SDEs) via interacting particle systems, where the MV-SDEs contain two drift terms, one driven by the random time change Et and the other driven by a regular, non-random time variable t. Strong convergence and convergence rate in the finite time of the Euler-Maruyama (EM) method on the particle system is discussed. Numerical example illustrates that "particle corruption"will not occur on the whole particle system and show the consistency with convergence result.(c) 2023 Elsevier B.V. All rights reserved.