Exact linearization of one-dimensional jump-diffusion stochastic differential equations
type: Item
instance of: scholarly article
title: Exact linearization of one-dimensional jump-diffusion stochastic differential equations
zbMATH Open document ID: 1176.60048
author: Abdullah Sanver
author: Ismail Iyigunler
author: Gazanfer Ünal
published in: Nonlinear Dynamics
publication date: 2009-09-11T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 5603204
zbMATH Keywords: jump-diffusion
zbMATH Keywords: stochastic differential equation
zbMATH Keywords: linearization
zbMATH Keywords: Poisson process
reviewed by: Ilya Pavlyukevich
MaRDI profile type: Publication
full work available at URL: s11071-006-9165-2
OpenAlex ID: W2071368018
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DOI: 10.1007/S11071-006-9165-2
description: scientific article; zbMATH DE number 5603204