Exact linearization of one-dimensional jump-diffusion stochastic differential equations

DOI10.1007/S11071-006-9165-2MaRDI QIDQ840343zbMATH OpenOpenAlexFDO

Authors Abdullah Sanver, Ismail Iyigunler, Gazanfer Ünal

Publication date 11 September 2009

Published in Nonlinear Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11071-006-9165-2

zbMATH Keywords

jump-diffusionlinearizationPoisson processstochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

Review text

The authors determine mappings of the form \(y=h(x)\), \(h'(x)\neq 0\) which transform a non-linear Itô stochastic differential equation \(dx=f(x)dt+g(x)dW(t)+r(x)dP\) to a linear form \(dy=(a_1 y+a_2)dt+(b_1y +b_2)dW(t)+(c_1 y+c_2)dP(t)\), \(W\) and \(P\) being the standard Wiener and Poisson processes respectively.

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Cites work

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Cited in

(5)

• Linearization criteria for systems of two second-order stochastic ordinary differential equations
• Linearization of first order stochastic differential equations
• Linearization of one-dimensional nonautonomous jump-diffusion stochastic differential equations
• scientific article; zbMATH DE number 3901748 (Why is no real title available?)
• Exact linearization of one dimensional Itô equations driven by fBm: Analytical and numerical solutions

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