Finite Difference Schemes for Linear Stochastic Integro-Differential Equations

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.

References in corpus (4)

• Rate of Convergence of Space Time Approximations for stochastic evolution equations
• Taylor expansions of solutions of stochastic partial differential equations with additive noise
• Accelerated spatial approximations for time discretized stochastic partial differential equations
• Higher order spatial approximations for degenerate parabolic stochastic partial differential equations