Finite difference schemes for linear stochastic integro-differential equations
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Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stochastic integral equations (60H20)
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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Cited in
(16)- Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE
- Numerical solution of two dimensional stochastic Volterra-Fredholm integral equations via operational matrix method based on hat functions
- Cubic B-spline approximation for linear stochastic integro-differential equation of fractional order
- Application of hat basis functions for solving two-dimensional stochastic fractional integral equations
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- NUMERICAL SOLUTION OF SINGULAR STOCHASTIC INTEGRAL EQUATIONS OF ABEL’S TYPE USING OPERATIONAL MATRIX METHOD
- Numerical solution of two-dimensional weakly singular stochastic integral equations on non-rectangular domains via radial basis functions
- An iterative shifted Chebyshev method for nonlinear stochastic Itô-Volterra integral equations
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