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Finite difference schemes for linear stochastic integro-differential equations

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  • Dareiotis, Konstantinos
  • Leahy, James-Michael

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.

Suggested Citation

  • Dareiotis, Konstantinos & Leahy, James-Michael, 2016. "Finite difference schemes for linear stochastic integro-differential equations," Stochastic Processes and their Applications, Elsevier, vol. 126(10), pages 3202-3234.
    • Handle: RePEc:eee:spapps:v:126:y:2016:i:10:p:3202-3234
    DOI: 10.1016/j.spa.2016.04.025
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    References listed on IDEAS

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    1. Rama Cont & Ekaterina Voltchkova, 2005. "A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models," Post-Print halshs-00445645, HAL.
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    Cited by:

    1. Alipour, Sahar & Mirzaee, Farshid, 2020. "An iterative algorithm for solving two dimensional nonlinear stochastic integral equations: A combined successive approximations method with bilinear spline interpolation," Applied Mathematics and Computation, Elsevier, vol. 371(C).

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