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

stochastic differential equationPoisson processjump-diffusionlinearization

Mathematics Subject Classification ID

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

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• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 1054336 (Why is no real title available?)
• A theory of the term structure of interest rates
• Elementary Stochastic Calculus, with Finance in View
• Handbook of stochastic methods for physics, chemistry and natural sciences.
• Integration of stochastic ordinary differential equations from a symmetry standpoint

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• Linearization of first order stochastic differential equations
• Linearization of one-dimensional nonautonomous jump-diffusion stochastic differential equations
• Exact linearization of one dimensional Itô equations driven by fBm: Analytical and numerical solutions
• Linearization criteria for systems of two second-order stochastic ordinary differential equations

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