Publication: Exact linearization of one-dimensional jump-diffusion stochastic differential equations
Program
KU-Authors
KU Authors
Co-Authors
Ünal, Gazanfer
Sanver, Abdullah
Publication Date
Language
Type
Embargo Status
Journal Title
Journal ISSN
Volume Title
Alternative 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
Publisher
Springer
Subject
Engineering, Mechanical engineering, Mechanics
Citation
Has Part
Source
Nonlinear Dynamics
Book Series Title
Edition
DOI
10.1007/s11071-006-9165-2