Exact linearization of one dimensional Itô equations driven by fBm: Analytical and numerical solutions

DOI10.1007/S11071-007-9312-4zbMath1173.60328OpenAlexW2053597989MaRDI QIDQ841761

Ali Dinler, Gazanfer Ünal

Publication date: 18 September 2009

Published in: Nonlinear Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11071-007-9312-4

zbMATH Keywords

exact linearizationmodified Milstein methodstochastic integrating factor

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (3)

Solving nonlinear stochastic differential equations with fractional Brownian motion using reducibility approach ⋮ Linearization criteria for systems of two second-order stochastic ordinary differential equations ⋮ Linearization of a Second-Order Stochastic Ordinary Differential Equation

Cites Work

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• Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
• An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.
• A Theory of the Term Structure of Interest Rates
• An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
• The Method of an Exact Linearization of n-order Ordinary Differential Equations
• Stochastic integration with respect to the fractional Brownian motion
• Fractional Brownian Motions, Fractional Noises and Applications

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