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

DOI10.2991/JNMP.2007.14.3.9zbMATH Open1179.37074OpenAlexW1964114409MaRDI QIDQ3607665FDOQ3607665

Authors Gazanfer Ünal, Ismail Iyigunler, Chaudry Masood Khalique

Publication date 26 February 2009

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

Full work available at URL http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.954.4802

zbMATH Keywords

jump-diffusion stochastic ordinary differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transformation and reduction of ordinary differential equations and systems, normal forms (34C20) Generation, random and stochastic difference and differential equations (37H10)

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Cites work

• scientific article; zbMATH DE number 4022294 (Why is no real title available?)
• A theory of the term structure of interest rates
• Elementary Stochastic Calculus, with Finance in View
• Integration of stochastic ordinary differential equations from a symmetry standpoint
• Linearisable third-order ordinary differential equations and generalised sundman transformations: the case \(X=0\)
• Linearization criteria for a system of second-order ordinary differential equations
• SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
• Sundman Symmetries of Nonlinear Second-Order and Third-Order Ordinary Differential Equations
• The Method of an Exact Linearization of n-order Ordinary Differential Equations

Cited in

(5)

• Exact solvability of stochastic differential equations driven by finite activity Lévy processes
• Linearization criteria for systems of two second-order stochastic ordinary differential equations
• Explicit solution processes for nonlinear jump-diffusion equations
• Exact linearization of one-dimensional jump-diffusion stochastic differential equations
• On jump-diffusive driving noise sources. Some explicit results and applications

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