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


Unal G., DİNLER A.

NONLINEAR DYNAMICS, cilt.53, ss.251-259, 2008 (SCI İndekslerine Giren Dergi) identifier

  • Cilt numarası: 53 Konu: 3
  • Basım Tarihi: 2008
  • Doi Numarası: 10.1007/s11071-007-9312-4
  • Dergi Adı: NONLINEAR DYNAMICS
  • Sayfa Sayısı: ss.251-259

Özet

Necessary and sufficient conditions for the linearization of the one-dimensional Ito stochastic differential equations driven by fractional Brownian motion (fBm) are given. Stochastic integrating factor has been introduced. A modified Milstein method has been developed to obtain numerical solutions. Analytical solutions have been compared with the numerical solutions for linearizable equations.