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Linearization of one-dimensional nonautonomous jump-diffusion stochastic differential equations

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Unal, Gazanfer
Khalique, C. Masood

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Abstract

Necessary and sufficient conditions for the linearization of one-dimensional nonautonomous jump-diffusion stochastic differential equations are given. Stochastic integrating factor is introduced to solve the linear jump-diffusion stochastic differential equations. Closed form solutions to certain linearizable jump-diffusion stochastic differential equations are obtained.

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World Scientific Publ Co Pte Ltd

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Mathematics, Applied mathematics, Physics, Mathematical physics

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Journal Of Nonlinear Mathematical Physics

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10.2991/jnmp.2007.14.3.9

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