Publication: Exact linearization of one-dimensional jump-diffusion stochastic differential equations
Program
KU-Authors
KU Authors
Co-Authors
Ünal, Gazanfer
Sanver, Abdullah
Advisor
Publication Date
Language
English
Type
Journal Title
Journal ISSN
Volume Title
Abstract
Necessary and sufficient conditions for the linearization of the one-dimensional Ito jump-diffusion stochastic differential equations (JDSDE) are given. Stochastic integrating factor has been introduced to solve the linear JDSDEs. Exact solutions to some linearizable JDSDEs have been provided.
Source:
Nonlinear Dynamics
Publisher:
Springer
Keywords:
Subject
Engineering, Mechanical engineering, Mechanics