Finite Difference Schemes for Linear Stochastic Integro-Differential Equations
Probability
2016-09-09 v5 Numerical Analysis
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.
Cite
@article{arxiv.1310.4117,
title = {Finite Difference Schemes for Linear Stochastic Integro-Differential Equations},
author = {Konstantinos Dareiotis and James-Michael Leahy},
journal= {arXiv preprint arXiv:1310.4117},
year = {2016}
}