Finite Difference Schemes for Linear Stochastic Integro-Differential Equations

Published 15 Oct 2013 in math.PR and math.NA | (1310.4117v5)

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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