Journal of Nonlinear Mathematical Physics

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Volume 14, Issue 3, October 2007, Pages 430 - 442

Linearization of one-dimensional nonautonomous jump-diffusion stochastic differential equations

Authors
Gazanfer Unal, Ismail Iyigunler, C Masood Khalique
Corresponding Author
Gazanfer Unal
Received 27 December 2006, Accepted 6 March 2007, Available Online 1 October 2007.
DOI
10.2991/jnmp.2007.14.3.9How to use a DOI?
Abstract

Necessary and sufficient conditions for the linearization of one-dimensional nonau- tonomous jump-diffusion stochastic differential equations are given. Stochastic inte- grating factor is introduced to solve the linear jump-diffusion stochastic differential equations. Closed form solutions to certain linearizable jump-diffusion stochastic dif- ferential equations are obtained.

Copyright
© 2007, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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<Previous Article In Issue
Next Article In Issue>
Journal
Journal of Nonlinear Mathematical Physics
Volume-Issue
14 - 3
Pages
430 - 442
Publication Date
2007/10/01
ISSN (Online)
1776-0852
ISSN (Print)
1402-9251
DOI
10.2991/jnmp.2007.14.3.9How to use a DOI?
Copyright
© 2007, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

risenwbib
TY  - JOUR
AU  - Gazanfer Unal
AU  - Ismail Iyigunler
AU  - C Masood Khalique
PY  - 2007
DA  - 2007/10/01
TI  - Linearization of one-dimensional nonautonomous jump-diffusion stochastic differential equations
JO  - Journal of Nonlinear Mathematical Physics
SP  - 430
EP  - 442
VL  - 14
IS  - 3
SN  - 1776-0852
UR  - https://doi.org/10.2991/jnmp.2007.14.3.9
DO  - 10.2991/jnmp.2007.14.3.9
ID  - Unal2007
ER  -