Publication: Exact linearization of one-dimensional jump-diffusion stochastic differential equations
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Ünal, Gazanfer
Sanver, Abdullah
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N/A
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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.
Source
Publisher
Springer
Subject
Engineering, Mechanical engineering, Mechanics
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Source
Nonlinear Dynamics
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DOI
10.1007/s11071-006-9165-2
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