%0 Journal Article
%T Finite Difference Schemes for Linear Stochastic Integro-Differential Equations
%A Konstantinos Dareiotis
%A James-Michael Leahy
%J Mathematics
%D 2013
%I arXiv
%X 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.
%U http://arxiv.org/abs/1310.4117v4