Finite difference schemes for linear stochastic integro-differential equations

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:126

Article

Dareiotis, Konstantinos¹  Leahy, James-Michael² 

[1] Uppsala Univ, Uppsala, Sweden

[2] Univ Southern Calif, Los Angeles, CA 90089 USA

关键词: Stochastic integro-differential equations;    Finite differences;    Levy processes;   

DOI  :  10.1016/j.spa.2016.04.025

来源: Elsevier

【 摘 要 】

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. (C) 2016 Elsevier B.V. All rights reserved.

【 授权许可】

Free