LINEARIZATION OF FIRST ORDER STOCHASTIC DIFFERENTIAL EQUATIONS

摘要

We give necessary and sufficient conditions which allow a first or-der ordinary stochastic differential equation to be transformed to linear form. These conditionscan easily extend to stochastic differential equa-tions driven by fractional Brownian motion. Furthermore, every first or-der ordinary stochastic differential equation can be reduced to simplest form when Brownian motion is included in the transformation.