Linearization of a second-order stochastic ordinary differential equation

DOI10.1142/S1402925111001696MaRDI QIDQ3095759zbMATH OpenOpenAlexWikidataFDO

Authors Sergey V. Meleshko, Eckart Schulz

Publication date 3 November 2011

Published in Journal of Nonlinear Mathematical Physics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1142/s1402925111001696

zbMATH Keywords

Brownian motionstochastic ordinary differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

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Cites work

• scientific article; zbMATH DE number 4022294 (Why is no real title available?)
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• Exact linearization of one dimensional Itô equations driven by fBm: Analytical and numerical solutions
• Lie-point symmetries and stochastic differential equations
• Methods for constructing exact solutions of partial differential equations. Mathematical and analytical techniques with applications to engineering
• On the definition of an admitted Lie group for stochastic differential equations

Cited in

(3)

• Linearization of first order stochastic differential equations
• On the linearization of nonlinear Langevin-type stochastic differential equations
• Linearization criteria for systems of two second-order stochastic ordinary differential equations

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