Davis, who worked with Stone in the past, reportedly met with federal agents voluntarily on Wednesday, CNN reported, citing multiple sources familiar with the events.
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The New York Times reported last week that Mueller was going to issue a subpoena to Davis as part of his investigation into allegations of Russian interference in the 2016 US presidential election.
Davis was supplying escorts to businessmen and politicians in the early 2000s and became known as the Manhattan Madam amid a sex scandal involving former New York Governor Eliot Spitzer. Davis spent several months in jail on charges that she ran a prostitution ring.
The media reports did not specify what the main focus of her interview with the FBI was.
Stone is facing allegations he had prior knowledge of the WikiLeaks release of private emails stolen from former Democratic presidential candidate Hillary Clinton's campaign chairman, John Podesta.