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Exact linearization of one-dimensional jump-diffusion stochastic differential equations |
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| Authors: | Gazanfer Unal Abdullah Sanver Ismail Iyigunler |
| Affiliation: | (1) Faculty of Commerce and Faculty of Science and Letters, Yeditepe University, Istanbul, Turkey;(2) Department of Mathematics, Koc University, Istanbul, Turkey;(3) Department of Computational Sciences and Engineering, Koc University, Istanbul, Turkey |
| Abstract: | Necessary and sufficient conditions for the linearization of the one-dimensional Itô jump-diffusion stochastic differential equations (JDSDE) are given. Stochastic integrating factor has been introduced to solve the linear JDSDEs. Exact solutions to some linearizable JDSDEs have been provided. |
| Keywords: | Exact linearization Jump-diffusion stochastic differential equations Stochastic integrating factors |
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