Finite difference schemes for linear stochastic integro-differential equations

Konstantinos Dareiotis and James-Michael Leahy

Stochastic Processes and their Applications, 2016, vol. 126, issue 10, 3202-3234

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.

Keywords: Stochastic integro-differential equations; Finite differences; Lévy processes (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414916300485
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:126:y:2016:i:10:p:3202-3234

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2016.04.025

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().