Explicit Solution Processes for Nonlinear Jump-Diffusion Equations
نویسندگان
چکیده
Recent studies have shown that the nonlinear jump-diffusion models give results which are in agreement with financial data. Here we provide linearization criteria together transformations linearize compound Poisson processes. Furthermore, introduce stochastic integrating factor to solve linear equations. Extended Cox–Ingersoll–Ross, Brennan–Schwartz and Epstein be linearizable their explicit solutions presented.
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ژورنال
عنوان ژورنال: Journal of Nonlinear Mathematical Physics
سال: 2021
ISSN: ['1776-0852', '1402-9251']
DOI: https://doi.org/10.1142/s1402925110000908