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Explicit Solution Processes for Nonlinear Jump-Diffusion Equations

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dc.contributor.authorGazanfer, Ünal
dc.contributor.authorHasret, Turkeri
dc.contributor.authorChaudry Masood, Khalique
dc.date.accessioned2026-01-26T02:19:32Z
dc.date.issued2021-01-01
dc.description.abstractJump-diffusion equations with compound Poisson processes are often used to model financial data with spiky behavior. As many models are nonlinear, it is interesting to obtain linearization criteria together with the linearizing transformations, if any. Furthermore, the method of stochastic integrating factors is presented to solve linear jump-diffusion equations. Extended Cox-Ingersoll-Ross, Brennan-Schwartz and Epstein models are shown to be linearizable and their explicit solutions are given.
dc.description.urihttps://doi.org/10.1142/s1402925110000908
dc.description.urihttps://www.atlantis-press.com/article/125951026.pdf
dc.description.urihttps://zbmath.org/5822186
dc.description.urihttps://dx.doi.org/10.1142/s1402925110000908
dc.identifier.doi10.1142/s1402925110000908
dc.identifier.eissn1776-0852
dc.identifier.openairedoi_dedup___::c4ac8a28495b949fa1e4103b63837959
dc.identifier.orcid0000-0002-1986-4859
dc.identifier.startpage281
dc.identifier.urihttps://hdl.handle.net/11527/57289
dc.identifier.volume17
dc.language.isoeng
dc.publisherSpringer Science and Business Media LLC
dc.relation.ispartofJournal of Nonlinear Mathematical Physics
dc.rightsOPEN
dc.sdg.typeGoal 8: Decent Work and Economic Growth
dc.sdg.typeGoal 1: No Poverty
dc.subjectexplicit solution process
dc.subjectlinearization conditions
dc.subjectstochastic integrating factor
dc.subjectstochastic differential equation
dc.subjectcompound Poisson process
dc.subjectFinancial applications of other theories
dc.subjectStochastic ordinary differential equations (aspects of stochastic analysis)
dc.titleExplicit Solution Processes for Nonlinear Jump-Diffusion Equations
dc.typeArticle
dspace.entity.typePublication

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