Exact linearization of one-dimensional jump-diffusion stochastic differential equations
The authors determine mappings of the form \(y=h(x)\), \(h'(x)\neq 0\) which transform a non-linear Itô stochastic differential equation \(dx=f(x)dt+g(x)dW(t)+r(x)dP\) to a linear form \(dy=(a_1 y+a_2)dt+(b_1y +b_2)dW(t)+(c_1 y+c_2)dP(t)\), \(W\) and \(P\) being the standard Wiener and Poisson processes respectively.
scientific article; zbMATH DE number 5603204