Finite difference schemes for linear stochastic integro-differential equations

DOI10.1016/J.SPA.2016.04.025zbMATH Open1375.60111arXiv1310.4117OpenAlexW1858632505MaRDI QIDQ312003FDOQ312003

Authors: James-Michael Leahy, Konstantinos Dareiotis 

Publication date: 13 September 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1310.4117

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zbMATH Keywords

finite differencesstochastic integro-differential equationsLévy processes

Mathematics Subject Classification ID

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)

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Cited In (16)

• 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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• An iterative algorithm for solving two dimensional nonlinear stochastic integral equations: a combined successive approximations method with bilinear spline interpolation
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• Title not available (Why is that?)
• On finite difference schemes for partial integro-differential equations of Lévy type
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• Numerical solution of two-dimensional stochastic Fredholm integral equations on hypercube domains via meshfree approach
• Numerical solution based on hybrid of block-pulse and parabolic functions for solving a system of nonlinear stochastic Itô-Volterra integral equations of fractional order
• 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
• Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE

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