Publication: Exact linearization of one-dimensional jump-diffusion stochastic differential equations
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Ünal, Gazanfer
Sanver, Abdullah
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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.
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Springer
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Nonlinear Dynamics
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10.1007/s11071-006-9165-2
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