Finite Difference Schemes for Linear Stochastic Integro-Differential Equations

Konstantinos Dareiotis; James-Michael Leahy

doi:10.1016/j.spa.2016.04.025

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arXiv · 1310.4117

Finite Difference Schemes for Linear Stochastic Integro-Differential Equations

Konstantinos Dareiotis·James-Michael Leahy

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Abstract

We study the rate of convergence of an explicit and an implicit-explicit finite difference scheme for linear stochastic integro-differential equations of parabolic type arising in non-linear filtering of jump-diffusion processes. We show that the rate is of order one in space and order one-half in time.

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BibTeX RIS

Konstantinos Dareiotis, James-Michael Leahy. 2013-10-15. Finite Difference Schemes for Linear Stochastic Integro-Differential Equations. https://doi.org/10.1016/j.spa.2016.04.025

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