Publication: Linearization of one-dimensional nonautonomous jump-diffusion stochastic differential equations
Program
KU-Authors
KU Authors
Co-Authors
Unal, Gazanfer
Khalique, C. Masood
Publication Date
Language
Type
Embargo Status
Journal Title
Journal ISSN
Volume Title
Alternative 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
Publisher
World Scientific Publ Co Pte Ltd
Subject
Mathematics, Applied mathematics, Physics, Mathematical physics
Citation
Has Part
Source
Journal Of Nonlinear Mathematical Physics
Book Series Title
Edition
DOI
10.2991/jnmp.2007.14.3.9