Finite difference schemes for linear stochastic integro-differential equations (Q312003)

scientific article; zbMATH DE number 6627006

Language	Label	Description	Also known as
English	Finite difference schemes for linear stochastic integro-differential equations	scientific article; zbMATH DE number 6627006

Statements

instance of

scholarly article

0 references

title

Finite difference schemes for linear stochastic integro-differential equations (English)

0 references

author

James-Michael Leahy

0 references

Konstantinos Dareiotis

0 references

published in

Stochastic Processes and their Applications

0 references

publication date

13 September 2016

0 references

full work available at URL

https://arxiv.org/abs/1310.4117

0 references

zbMATH Keywords

stochastic integro-differential equations

0 references

finite differences

0 references

Lévy processes

0 references

MaRDI profile type

Publication

0 references

cites work

Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises

0 references

A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

0 references

Time-discretised Galerkin approximations of parabolic stochastic PDE's

0 references

Q4749705

0 references

Q3015741

0 references

On stochastic squations with respect to semimartingales III

0 references

Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. I

0 references

Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II

0 references

On finite difference schemes for degenerate stochastic parabolic partial differential equations

0 references

Accelerated Finite Difference Schemes for Linear Stochastic Partial Differential Equations in the Whole Space

0 references

Accelerated Numerical Schemes for PDEs and SPDEs

0 references

On discretization schemes for stochastic evolution equations

0 references

Rate of convergence of space time approximations for stochastic evolution equations

0 references

Finite Element Approximation of Stochastic Partial Differential Equations driven by Poisson Random Measures of Jump Type

0 references

A numerical approximation of parabolic stochastic partial differential equations driven by a Poisson random measure

0 references

Taylor expansions of solutions of stochastic partial differential equations with additive noise

0 references

Accelerated Spatial Approximations for Time Discretized Stochastic Partial Differential Equations

0 references

Higher order spatial approximations for degenerate parabolic stochastic partial differential equations

0 references

On simulation of tempered stable random variates

0 references

Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales

0 references

A numerical scheme for stochastic PDEs with Gevrey regularity

0 references

Q3997285

0 references

Galerkin Finite Element Methods for Stochastic Parabolic Partial Differential Equations

0 references

Semi-discretization of stochastic partial differential equations on $\mathbb{R}^1$ by a finite-difference method

0 references

Identifiers

zbMATH Open document ID

1375.60111

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

10.1016/J.SPA.2016.04.025

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:312003