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

Unal G., Dinler A.

NONLINEAR DYNAMICS, cilt.53, sa.3, ss.251-259, 2008 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 53 Sayı: 3
  • Basım Tarihi: 2008
  • Doi Numarası: 10.1007/s11071-007-9312-4
  • Dergi Adı: NONLINEAR DYNAMICS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.251-259
  • İstanbul Teknik Üniversitesi Adresli: Evet

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.