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Conditional McKean–Vlasov stochastic differential equations driven by fractional Brownian motions

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  • Shen, Guangjun
  • Wang, Jiangpeng

Abstract

In this paper, we are concerned with a class of McKean–Vlasov stochastic differential equations with Markovian regime-switching driven by fractional Brownian motions with Hurst parameter H>12. We first obtain the existence and uniqueness theorem for solutions of the concerned equations under the non-Lipschitz conditions. Second, we establish the propagation of chaos for the associated mean-field interaction particle systems with common noise and provide an explicit bound on the convergence rate. At last, an averaging principle is investigated with respect to two time-scale conditional McKean–Vlasov stochastic differential equations.

Suggested Citation

  • Shen, Guangjun & Wang, Jiangpeng, 2025. "Conditional McKean–Vlasov stochastic differential equations driven by fractional Brownian motions," Chaos, Solitons & Fractals, Elsevier, vol. 196(C).
    • Handle: RePEc:eee:chsofr:v:196:y:2025:i:c:s0960077925003613
    DOI: 10.1016/j.chaos.2025.116348
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    References listed on IDEAS

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