Worst case error for integro-differential equations by a lattice-Nyström method

for x 2 D D Œ0; 1 , 1; 2 2 R and d 2 N. Also, 1, ! 2, g, ̨0 and ! ̨1 are given functions from a weighted Korobov space. This problem describes several interesting physical and financial phenomena (see [7–9, 13, 14, 22]). On the other hand, the existence and uniqueness of the above problem were proved by many authors (see [3, 11, 12, 17, 18, 24]). The paper proposes a convergence analysis of discretization schemes for these equations. The convergence