Dareiotis, K and Leahy, JM (2016) Finite difference schemes for linear stochastic integro-differential equations. Stochastic Processes and their Applications, 126 (10). pp. 3202-3234. ISSN 0304-4149
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2016 Elsevier B.V. All rights reserved. This is an author produced version of an article published in Stochastic Processes and their Applications. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Stochastic integro-differential equations; Finite differences; Lévy processes |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 06 Nov 2019 11:46 |
Last Modified: | 25 Jun 2023 22:03 |
Status: | Published |
Publisher: | Elsevier |
Identification Number: | 10.1016/j.spa.2016.04.025 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:153135 |
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