Linearization criteria for systems of two second-order stochastic ordinary differential equations

T.G. Mkhize, K. Govinder, S. Moyo and S.V. Meleshko

Applied Mathematics and Computation, 2017, vol. 301, issue C, 25-35

Abstract: We provide the necessary and sufficient conditions for the linearization of systems of two second-order stochastic ordinary differential equations. The linearization criteria are given in terms of coefficients of the system followed by some illustrations. This paper gives a new treatment for the linearization of two second-order stochastic ordinary differential equations and with some examples.

Keywords: Stochastic ordinary differential equations; Linearization; Itô formula; Equivalence transformation (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:301:y:2017:i:c:p:25-35

DOI: 10.1016/j.amc.2016.12.019

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