Publication: Linearization of one-dimensional nonautonomous jump-diffusion stochastic differential equations
Program
KU-Authors
KU Authors
Co-Authors
Unal, Gazanfer
Khalique, C. Masood
Advisor
Publication Date
2007
Language
English
Type
Journal Article
Journal Title
Journal ISSN
Volume Title
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.
Description
Source:
Journal Of Nonlinear Mathematical Physics
Publisher:
World Scientific Publ Co Pte Ltd
Keywords:
Subject
Mathematics, Applied mathematics, Physics, Mathematical physics