Linearization of a Second-Order Stochastic Ordinary Differential Equation

DOI10.1142/S1402925111001696zbMath1235.60068OpenAlexW2110874544WikidataQ115244610 ScholiaQ115244610MaRDI QIDQ3095759

Sergey V. Meleshko, Eckart Schulz

Publication date: 3 November 2011

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

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)

Related Items (1)

Linearization criteria for systems of two second-order stochastic ordinary differential equations

Cites Work

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• Exact linearization of one dimensional Itô equations driven by fBm: Analytical and numerical solutions
• On the definition of an admitted Lie group for stochastic differential equations
• Methods for constructing exact solutions of partial differential equations. Mathematical and analytical techniques with applications to engineering
• Lie-point symmetries and stochastic differential equations

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