Finite difference schemes for linear stochastic integro-differential equations

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• 作者：Konstantinos Dareiotis^a ; ^{konstantinos.dareiotis@math.uu.se" class="auth_mail" title="E-mail the corresponding author} ; James-Michael Leahy^b ; ^{leahyj@usc.edu" class="auth_mail" title="E-mail the corresponding author}
• 关键词：Stochastic integro-differential equations ; Finite differences ; Lé ; vy processes
• 刊名：Stochastic Processes and their Applications
• 出版年：2016
• 出版时间：October 2016
• 年：2016
• 卷：126
• 期：10
• 页码：3202-3234
• 全文大小：450 K

文摘

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.