This paper focuses on the numerical scheme of highly nonlinear neutral multiple-delay stohchastic McKean-Vlasov equation (NMSMVE) by virtue of the stochastic particle method. First, under general assumptions, the results about propagation of chaos in $\mathcal{L}^p$ sense are shown. Then the tamed Euler-Maruyama scheme to the corresponding particle system is established and the convergence rate in $\mathcal{L}^p$ sense is obtained. Furthermore, combining these two results gives the convergence error between the objective NMSMVE and numerical approximation, which is related to the particle number and step size. Finally, two numerical examples are provided to support the finding.
翻译:本文借助随机粒子方法,研究高度非线性中立型多延迟随机McKean-Vlasov方程(NMSMVE)的数值格式。首先,在一般假设条件下,给出了$\mathcal{L}^p$范数意义下混沌传播的结果。接着,建立了对应粒子系统的驯服欧拉-丸山格式,并得到了$\mathcal{L}^p$范数意义下的收敛速度。进一步地,结合这两项成果,给出了目标方程NMSMVE与数值近似之间的收敛误差,该误差与粒子数目及步长相关。最后,通过两个数值算例验证了所得结论。