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
2008
Language
English
Type
Journal Article
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.
Description
Source:
Nonlinear Dynamics
Publisher:
Springer
Keywords:
Subject
Engineering, Mechanical engineering, Mechanics