Linearization of one-dimensional nonautonomous jump-diffusion stochastic differential equations |
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Abstract: | Abstract Necessary and sufficient conditions for the linearization of one-dimensional nonautonomous jump-diffusion stochastic differential equations are given. Stochastic integrating factor is introduced to solve the linear jump- diffusion stochastic differential equations. Closed form solutions to certain linearizable jump-diffusion stochastic differential equations are obtained. |
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