Publication: 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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Lulea University of Technology
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Journal Of Nonlinear Mathematical Physics
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10.2991/jnmp.2007.14.3.9
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