Linearization of a Second-Order Stochastic Ordinary Differential Equation

被引：0
|
作者：
Sergey V. Meleshko
Eckart Schulz
机构：
[1] Suranaree University of Technology,School of Mathematics
[2] Center of Excellence in Mathematics,undefined
[3] CHE,undefined
来源：
Journal of Nonlinear Mathematical Physics | 2011年 / 18卷
关键词：
Brownian motion; linearization; stochastic ordinary differential equation; 60H10;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Necessary and sufficient conditions which allow a second-order stochastic ordinary differential equation to be transformed to linear form are presented. The transformation can be chosen in a way so that all but one of the coefficients in the stochastic integral part vanish. The linearization criteria thus obtained are used to determine the general form of a linearizable Langevin equation.
引用
收藏
页码：427 / 441
页数：14
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