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
Language
English
Type
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.
Source:
Journal Of Nonlinear Mathematical Physics
Publisher:
World Scientific Publ Co Pte Ltd
Keywords:
Subject
Mathematics, Applied mathematics, Physics, Mathematical physics