Journal of Nonlinear Mathematical Physics

ISSN: 1402-9251 (Print) 1776-0852 (Online) Journal homepage: http://www.tandfonline.com/loi/tnmp20

LINEARIZATION OF A SECOND-ORDER STOCHASTIC
ORDINARY DIFFERENTIAL EQUATION

SERGEY V. MELESHKO & ECKART SCHULZ

To cite this article: SERGEY V. MELESHKO & ECKART SCHULZ (2011) LINEARIZATION OF A
SECOND-ORDER STOCHASTIC ORDINARY DIFFERENTIAL EQUATION, Journal of Nonlinear
Mathematical Physics, 18:3, 427-441, DOI: 10.1142/S1402925111001696

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Published online: 04 Mar 2013.

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Thailand and Center of Excellence in Mathematics. for the case of the harmonic oscillator. 18.2) is the simplest of these.ac. X˙ ) W ˙ (1. X) X ˙ + σW ˙ (1. X.. X. Schulz DOI: 10. X) X ˙ + g(t. x) ˙ 427 . 3 (2011) 427–441 c S. Suranaree University of Technology Nakhon Ratchasima 30000. and their solutions difficult to obtain.th † eckart@math. Vol. Introduction Physical phenomena of interest in science are very often simulated by means of models which correspond to differential equations. 2011 15:27 WSPC/1402-9251 259-JNMP S1402925111001696 Article Journal of Nonlinear Mathematical Physics. f (t.th Received 31 January 2011 Accepted 14 March 2011 Necessary and sufficient conditions which allow a second-order stochastic ordinary differential equa- tion to be transformed to linear form are presented. In particular. In chemistry and physics for example. linearization. Mathematics Subject Classification 2000: 60H10 1. The linearization criteria thus obtained are used to determine the general form of a linearizable Langevin equation. Keywords: Brownian motion.sut.1142/S1402925111001696 LINEARIZATION OF A SECOND-ORDER STOCHASTIC ORDINARY DIFFERENTIAL EQUATION SERGEY V. CHE Si Ayutthaya Rd. The second order Langevin equation where W ¨ = f (t. x. Thailand ∗ sergey@math. ˙ = −ν 2 x − β x. Meleshko and E. These equations are in general nonlinear. No.1) ˙ is white noise.sut. and it describes the motion of a particle in a noise-perturbed force field. Bangkok 10400.ac. stochastic ordinary differential equation. X. V. MELESHKO∗ and ECKART SCHULZ† School of Mathematics. one frequently encounters models based on the second order equation ¨ = f (t. In addition. The transformation can be chosen in a way so that all but one of the coefficients in the stochastic integral part vanish. many of these mathematical models are given in terms of stochastic nonlinear differential problems.September 26.

f1 = −c. and only if. (i = 1. x where the coefficients a(t. F.2) becomes a linear second-order stochastic differential equation. 2.3) become L1 = (2f2t − f1x )x + f2 (2f2t − f1x ) = 0. Here fi (t. The simplest form of a second- order ordinary differential equation x ¨ = f (t. x). ϕxi . . which has the stochastic differentials dXi = fi (t. f is a polynomial of third degree with respect to the first-order derivative. The d-dimensional version of the Itˆ o formula with one-dimensional Brow- nian motion {Wt : t ≥ 0} can be stated as follows. 12]. While solving problems involving deterministic differential equations it is often expedient to simplify an equation by a suitable change of variables. x. b(t. 2. X) dt + gi (t. linear equations play a role similar to that of linear equations in the classical theory of ordinary differential equations. In addition. . x). The Langevin equa- tion is also encountered frequently in the theory of lasers. . . . chemical kinetics and population dynamics. c(t. ¨ + ax˙ 3 + bx˙ 2 + cx˙ + d = 0. Meleshko & E. (1. . . 6. ϕxi xj . Hence. where f0 = −d. .September 26. the reduction of a stochastic ordinary differential equation to linear form allows one to construct an exact solution of the original equation [5. In general. . Schulz Eq. one can state the linearization problem for stochastic ordinary differential equations: find a change of variables which transforms a given equation to linear form. d) are deterministic functions. Xd ) be a d- dimensional Itˆ o process defined on a filtered probability space (Ω. X2 . 2011 15:27 WSPC/1402-9251 259-JNMP S1402925111001696 428 S. Sophus Lie [7]a showed that this equation is linearizable by a change of both the independent and dependent variables if. X) dW. x) and gi (t.4) L2 = (f2t − 2f1x )t − f1 (f2t − 2f1x ) + 3(f0x − f2 f0 )x = 0.3) L2 = btt − 2ctx + 3dxx − 6at d + bt c + 3bx d − 2cx c − 3dt a + 3dx b = 0. (i = 1. x) and d(t. x) satisfy the conditions L1 = 3att − 2btx + cxx − 3at c + 3ax d + 2bt b − 3ct a − cx b + 6dx a = 0. x) ˙ is the linear form. . Then the a See [8] for details and references. 2. j = 1. P ). (1. . V. (1. In the realm of stochastic ordinary differential equations. . . . f2 = −b. and only if. (i. Suppose that the function ϕ(t. Let X = (X1 . . . x). x) has continuous derivatives ϕt . d). . a = 0 in which case conditions (1. the change of variables in stochastic differential equations differs from that in ordinary differential equations owing to the necessity of using the Itˆo formula instead of the chain rule. For example. it is linearizable by a change of the dependent variable x only if. d).

1.1) satisfy the condition Nx = 0.1) is reducible to the linear stochastic differential equation dYt = eJ dW b The usual convention on summation with respect to a repeated index is used here.1) is equiv- alent to the heat equation. Let us set   −1 g2 N =g gt + f gx + gxx − gfx .2) turning Eq. 6]. 2011 15:27 WSPC/1402-9251 259-JNMP S1402925111001696 Linearization of a Second-Order Stochastic Ordinary Differential Equation 429 process ϕ(t. X) = ϕt + fi ϕxi + gi gj ϕxi xj (t. (2.1) and some particular criteria for the existence of a change of the dependent variable y = ϕ(t.1) into a linear equation dYt = (a1 (t)Y + a0 (t)) dt + (b1 (t)Y + b0 (t)) dW (2. X) dt + (gi ϕxi )(t. General necessary and sufficient linearization conditions were finally presented in [9] and [13]. x) (2. X) dW. X) dt + g(t. 2. and can be summarized as follows. X) dW.September 26. For example. Sections 3 and 4 of the present manuscript discuss the solution of this task. in [5] linearization criteria for autonomous (f = f (x) and g = g(x)) equations were found and furthermore. the author of [2] developed a MAPLE package containing routines which return explicit solutions of stochastic differential equations. (2. 2.1. Linearization of First-Order Stochastic ODEs Let us begin by reviewing the known linearization criteria for first-order equations. Various examples of stochastic ordinary differential equations satisfying these criteria are given in [5. the coefficients of stochastic differential equation (2. 2 Theorem 2.3) were presented. (2. Then the backward Kolmogorov equation corresponding to (2. Strong linearization In [2. Suppose. Based on this anal- ysis. . and Eq. conditions for reducibility to an explic- itly integrable equation (a1 = 0 and b1 = 0) were obtained. 5. 2 To the authors’ knowledge the linearization problem for scalar second-order stochastic ordinary differential equations has not yet been studied. 6] the Itˆ o formula was applied to solving the linearization problem of a variety of scalar first-order stochastic ordinary differential equations dXt = f (t. X) has the stochastic differentialb   1 dϕ(t.

Z). Considering stochastic differential equation (2. This was corrected in [9]. now with the function N = g−1 (gt + f gx + ht2h−1 gxx g2 − gfx ). J(t) = q dt. 1). dX = f (t.September 26. and the function N satisfies equationsc     ∂ (Nx g)x ∂ (Nx g)x (Nx g)x = 0. c The second of the conditions (2. X.4) is missing in [14]. Assume that Nx = 0. . Xt ) dt + g(t. one may choose to include Brownian motion in the linearizing transformation. (2. Schulz where  J(t) = N dt. similar linearization conditions were also obtained in [14]. V. Remark.1) to a solution of the linear stochastic differential equation dYt = eJ dt + β1 Yt dW. Remark. and q = β1 (gx − β1 )/2 + (gt − f β1 )/g + Ntx /Nx − 2Nx g/β1 − N. Meleshko & E. x) is found by integrating the compatible system of partial differential equations   gx f eJ ϕt = eJ − . dZ = dW. (2. Y = ϕ(t. ϕx = . 2 g g Theorem 2.2.  Here β1 = −Nx−1 (Nx g)x . X) dW h . Xt ) dW. 2011 15:27 WSPC/1402-9251 259-JNMP S1402925111001696 430 S. X) dt + g(t.1) as the system of stochastic ordinary differential equations dXt = f (t.4) ∂x Nx ∂t Nx Nx Then the change β1 eJ y=− β1t − β1 N transforms any solution of Eq. The transition function y = ϕ(t. −N + Nx g = 0. For stochastic differential equations with fractional Brownian motion (fBm) W h of Hurst parameter h ∈ (0.

1 and 2. z).2. ω) dWs .3). The analysis of these equations is similar to the proofs of Theorems 2. (2. ω). For example. transformation (2. dYt = dW d Considering h = h(t. τ (t.2 (using the Itˆ o formula for a pair of stochastic processes) and shows that this exten- sion to a wider class of transformations does not lead to a larger collection of linearizable stochastic differential equations (2. x. ω) ds. .  t y = x. the transformation of a stochastic differential equation to a linear equation with changed Brownian motion may be called weak linearization. For example. 2 2 gϕx + ϕz = β1 ϕ + β0 . X(s)) ds. where ϕ = ϕ(t. x. It is not difficult to show that by virtue of its generality. similar to the definitions of strong and weak solutions. In [13] it was proven that the generalization of (2.September 26.5) 0 leads to the change of Brownian motion by the formula [11]  α(t.6) 0 0 also gives a transformation of the Brownian motion Ws to Brownian motion W t . ω) = t. ω). In contrast. This type of transformation can be used to further simplify the coefficients of a linear stochastic differential equation (2.  t  α(t) τ (t) = t = η 2 (s.1). Weak linearization Since transformation (2. (2.3) may be called strong linearization. 2. 4. b). 0 where τ (α(t.2) does not change the Brownian motion.ω)  Wt = h(s. there exists a transformation of type (2. 10] for defining fiber preserving admitted Lie groups of stochastic differential equations.1). 3. an investigation of linearizability leads to the study of the deterministic overdetermined system of equations 1 1 ϕt + f ϕx + g2 ϕxx + gϕxz + ϕzz = α1 ϕ + α0 .6) renders the weak linearization problem equally trivial: given any first-order stochastic differential equa- tion (2.6) mapping it to the simplest equation t . the linearization to Eq. W η(s. (2. this generalization can be extended to include the Brownian motion W in the transformation. Transformations of this type were used in [1.5)d . 2011 15:27 WSPC/1402-9251 259-JNMP S1402925111001696 Linearization of a Second-Order Stochastic Ordinary Differential Equation 431 In this case. one of the functions b1 (t) or b0 (t) of a diffusion coefficient can be reduced to one. the random time change τ with time change rate h2 (t. ω) = h2 (s. X(s)) dWs . Recall now that any first-order deterministic ordinary differential equation can be mapped into the sim- plest equation y  = 0 by a suitable change of the dependent and independent variables.

Applying the Itˆ o formula to the system of stochastic differential equations (3. the linear system corresponding to (3. v).September 26. x. x. v). β(t. X˙ ) dW.3). the first term on the right-hand side represents a Riemann integral. X. X. Meleshko & E. 2 . X. x) which transforms this equation to a linear stochastic differential equation dY˙ = (a1 (t)Y + b1 (t)Y˙ + c1 (t)) dt + (a2 (t)Y + b2 (t)Y˙ + c2 (t)) dW.2) is dY = Z dt. V ) dW. v) = ϕ2 (t. x). (3. V ) dW. x. (3. X) ˙ dt + g(t. X. X. one obtains dY = α(t. where the function ϕ2 (t. x. 2011 15:27 WSPC/1402-9251 259-JNMP S1402925111001696 432 S. a change of the dependent variable y = ϕ(t. Similarly. x.4) dZ = (a1 (t)Y + b1 (t)Z + c1 (t)) dt + (a2 (t)Y + b2 (t)Z + c2 (t)) dW.1) Here. (3. x. x) in (3. X. x. We assume here that ϕ is three times continuously differentiable.  g(t. and that ϕx = 0. v).1) determines a corresponding change in the system of stochastic differential equations (3. X.2) Equation (3.1) can be rewritten as a system of first-order stochastic differential equations dX = V dt.3). v) = ϕ2t + ϕ2x v + ϕ2v f + ϕ2vv g2 (t. Schulz Among other weak transformations one can also mention applications of the Girsanov theorems.1) is written in differential form as dX˙ = f (t. X. v) = 0. 3. and the second term an Itˆo integral. The Linearization Problem for Second Order Equations A scalar second-order stochastic ordinary differential equation (1.5) dZ = f(t. V ) dW. x.3) dV = f (t. y = ϕ(t. where α(t. z = ϕ2 (t.   1 f(t. V ) dt + g(t. V ) dt +  g(t. v). (3. The aim is to find a change of the dependent variable y = ϕ(t. V. (3. Just as with deterministic differential equations. v) = (ϕ2v g)(t. V ) dt + β(t. x. v) is defined by the formula ϕ2 = ϕt + vϕx .

1. 4. one immediately obtains: Theorem 4. (4.4).7) is necessary and sufficient for stochastic differ- ential equation (3.1) to be linearized. .6) ϕx g = b2 (ϕt + ϕx v) + a2 ϕ + c2 .5) one obtains the two equations 1 ϕ2t + ϕ2x v + ϕ2v f + ϕ2vv g2 = a1 ϕ + b1 ϕ2 + c1 . one obtains ϕxx = −ϕx f2 . by virtue of ϕx = 0. one finds that fvvv = 0 or f = f2 v 2 + f1 v + f0 . gvv = 0. x) has to be of the form g = b2 v + ψ. (4. x) uniquely determines the functions b2 (t). one has ϕxx v 2 + (2ϕtx − ϕx b1 )v + ϕtt − ϕt b1 + ϕx f − a1 ϕ − c1 = 0. After substituting the function ϕ2 into these. Splitting Eq.6) three times with respect to v. x) and f (t. a1 = (2b1t + 4f0x − 2f1t − b21 − 4f0 f2 + f12 )/4 (4.6) Comparing the two conditions (4. x).6) with respect to v. Linearization Criteria We now investigate in detail what type of coefficient functions f and g allow Eq. hence the function g(t.1) to be linearizable.4) with respect to x leads to f0xx = f0x f2 + f2tt − f2t f1 + f2x f0 . Differentiating (3. the pair of conditions (3. Differentiating (3. (4.1) where ψ = ψ(t. ϕtt = ϕt b1 − ϕx f0 + a1 ϕ + c1 . In particular. X) ˙ dt + g(t. gxv = 0. ψ(t. (4. ϕtx = ϕx (b1 − f1 )/2. X) ˙ dW. X.4) and (3.1. x) (i = 0. (3.September 26. (4.7) Thus.6) with (1. 2).3) Applying the identities (ϕtx )t − (ϕtt )x = 0 and (ϕtx )x − (ϕxx )t = 0 one has.6) and (3. x). If a second-order stochastic differential equation dX˙ = f (t. one obtains that gv = b2 .7) with respect to v.5) and (4. respectively. Notice that knowledge of the functions g(t. differentiation of (4.5) Since a1 is independent of x. 2 ϕ2v g = a2 ϕ + b2 ϕ2 + c2 . x) and fi (t. 2011 15:27 WSPC/1402-9251 259-JNMP S1402925111001696 Linearization of a Second-Order Stochastic Ordinary Differential Equation 433 Equating the integrands of the Riemann and Itˆ o integrals in (3. (3. X. (3. (3.4) and f1x = 2f2t .2) where fi = fi (t.

2) and (4. In fact.8). (3.6) and (4.1). while the coef- ficients a1 .9) are specific to stochastic equations. (3.11) where λ = (ψx ψ − ψt b2 − b22 f0 + ψ(b2t + b2 f1 − f2 ψ))/b22 . (4.5). There are now several possibilities to consider.5).8) leave three degrees of freedom for the choice of coefficients of the linearized equation.7) are equivalent to (4. As the form of the coefficient g is known. provided the above conditions are satisfied. Schulz is linearizable. In order to obtain sufficiency conditions.6) apply to deterministic equations as well.1). Meleshko & E.1). (3. (4. that Eq.5) and (4. (4. the relations ux = 0 and px = 0 hold. (4.3). ϕt = (ϕx ψ − a2 ϕ − c2 )/b2 . (4.6) and (3.2). u = (2c2t b2 + c2 (2f2 ψ − 2b2t − 2ψx − b1 b2 − b2 f1 ) + 2b22 c1 )/(2b22 ).9) Thus far.3) and (4. x) ˙ is also linearizable.7). V. Conditions (4.7) becomes ϕx ψ − ϕt b2 − a2 ϕ − c2 = 0. Suppose now. one obtains ϕx λ + pϕ + u = 0. (4. one finds ϕt from Eq.1. (4. we have shown that identities (4. and by a change of the dependent variable only. 2011 15:27 WSPC/1402-9251 259-JNMP S1402925111001696 434 S. a2 and b1 of the linearized equation are required to satisfy the relations (4. Case b2 = 0 Since b2 is nonzero. while conditions (4. Observe that Eqs. Eq. one finds a2 = (2ψx − b1 b2 + b2 f1 − 2f2 ψ)/2.7) Differentiating this equation with respect to x. (4. In addition.10) Substituting ϕt into the second and third equations of (4. 4. then the associated second-order ordinary differential equation x ¨ = f (t. (4. respectively.1). assume that all the identities listed above are satisfied.8) By virtue of (a2 )x = 0 and because of (4.1). x. The value of the coefficient b2 is already determined by (4. (4. p = −λx + f2 λ.9) are neces- sary conditions for linearizability of Eq. The two relations (4.September 26.1) can be linearized.4) and (4. (3.7). . and further analysis of compatibility of this overdetermined system of equations depends on the value of b2 as determined by (4. one has (ψx − f2 ψ)x + f2t b2 = 0.4) and (4. we will show that the nonlinear equation can be transformed to a linear equation with simple stochastic part.

(4.12) leads to w = 0. u = 0 and a1 = p. b2 = (g − ψ)/v. which constitutes a linear first-order ordinary differential equation in the coefficient c2 (t). then one can only choose a2 = 0 and c2 = 0 as u = 0 is required.3). a2 = 0.2) reduces to a first order equation. b2 λ 2 b2 λ λ If p = 0 then one may choose a2 = 0.8) and w = 0. 2011 15:27 WSPC/1402-9251 259-JNMP S1402925111001696 Linearization of a Second-Order Stochastic Ordinary Differential Equation 435 Suppose first that λ = 0.10) and the first equation of (4. while ϕ(t. ϕxx = −ϕx f2 .4). c2 = 0. (4. b2 λ The functions λ2 (t. c1 = 0. The linear equation (3. Thus. and the remaining coefficients of the linear equation (3. . b2 2 w = 2ut + u(f1 − b1 ) − (c2 pλ + u(λt b2 + pψ)). b1 = f1 + 2(ψx − f2 ψ)/b2 .1) is linearizable. c1 = 0. (4. Then p = 0 and Eq.8) and u = 0.11) reduces to u = 0. Thus stochastic differential equation (3. If on the other hand p = 0. (4. If λ2 = 0.11) with respect to ϕx . c2 = 0. (4. In fact. The function ϕ(t. as its coefficients are a1 = 0. Next assume that λ = 0. b2 = (g − ψ)/v. c2 = 0. c1 = −ϕx λ. a2 = 0. b1 = f1 + 2(ψx − f2 ψ)/b2 . (4. x) is obtained by integrating the involutive system of partial differential equations consisting of Eq. the coefficients of the linear equation (3. Solving Eq. x) are all determined. x) also satisfy the relations λ2x = f2 λ2 . x) and w(t. b1 = f1 + 2(ψx − f2 ψ)/b2 . (4. Without loss of generality one may choose a2 = 0. b2 = (g − ψ)/v. c1 = 0. the stochastic differential equation (3. a2 = 0.2) must satisfy (4. the first-order derivatives of the function ϕ(t.September 26. x) is obtained by integrating the involutive system ϕt = ϕx ψ/b2 .2) are uniquely defined by the functions f and g: a1 = 0. x) is found by solving ϕt = −ϕpψ/(b2 λ). Consequently. and the coefficients of the linear equation (3. wx = −2uλ2 /λ2 . c2 = 0. c1 = 0. (4. Then the function ϕ(t.12) where p λ2 = λt p − pt λ + (ψx λ + ψ(p − f2 λ)). ϕx = −ϕp/λ.4). and the function ϕ(t.1) is linearizable. The relation (ϕx )t − (ϕt )x = 0 gives 2ϕλ2 − wλ = 0. Observe that the linear equation obtained is of first order. c2 = 0. ϕx = − (u + pϕ). x) is obtained by integrating the involutive system of partial differential equations consisting of the equations   ψx λ + ψ(p − f2 λ) 1 1 1 ϕt = ϕ − + (b1 − f1 ) − (c2 λ + uψ).2) are defined by Eqs. then Eq.

and the coefficients of the linear equation (3.2) are a1 = p. We have thus shown that in case b2 = 0 one can obtain a linear equation whose coeffi- cients a2 and c2 vanish. From (3. Case b2 = 0 The assumption b2 = 0 implies that gv = 0 and ψ = g. Because of ϕx = 0 one has c2 = 0. (4. (4.4).10). x) is an arbitrary solution of the involutive system of equations ϕt = ϕx ψ/b2 . and Eq.11) and (wx )t − (wt )x = 0 are satisfied. Hence the coefficient a2 is determined by the functions f and g only. (4.2) are determined by Eqs.3). b2 = (g − ψ)/v.7) one finds ϕa2 + c2 ϕx = . then the coefficients also have to satisfy the condition 2uλ2 + wpλ = 0. Schulz where ϕ(t. and Eq.8) and (4. one can choose a2 = 0. Meleshko & E.September 26. ϕxx = −ϕx f2 satisfying ϕx = 0. then (4. c2 = 0. g Substituting ϕx into the first and second equations of (4. if λ2 = 0. a2 = gx − f2 g. the stochastic differential equation (3. Substituting this function into Eq. ϕxx = −ϕx f2 . x) is any solution of the involutive system of equations ϕt = ϕx ψ/b2 .15) c2 g 2 . (4. one obtains that w must satisfy wt = (−4c2 λλ22 − 4uψλ22 + wλ(−2ψx λλ2 − 2λt b2 λ2 + 2λ2t b2 λ − 2vψλ2 + b1 b2 λλ2 − b2 f1 λλ2 + 2f2 ψλλ2 ))/(2b2 λ2 λ2 ). 4.9) guarantees that a2 = a2 (t).13) Notice that the equations (4. c1 = −(ϕx λ + ϕp).14) becomes   c2t gt b1 − f1 = + . satisfying the condition ϕx = 0. V.2. (4. b1 = f1 + 2(ψx − f2 ψ)/b2 .12) defines the function ϕ(t. 2011 15:27 WSPC/1402-9251 259-JNMP S1402925111001696 436 S. (4. x).14) g 2 g 2 Suppose first that a2 = 0.1) is linearizable. Without loss of generality.13). a2 = 0. Finally. one obtains      gt b1 − f1 gt b1 − f1 a2 ϕt − ϕ + + a2t ϕ + c2t − c2 + = 0. Then the coefficients of the linear equation (3. (4. c2 = 0. (4. where the function ϕ(t. Thus. Since it is assumed that ϕx = 0.

2) will satisfy the conditions (4. c2 = 0. Then a1 = f0x − f0 f2 − (2f1t − f12 )/4. and c2 is a nontrivial solution of Eq. v˜x = v˜ f2 + + 2a2 a2t − a2 . x) satisfy the conditions         a2 gt a2 gt ˜x = u u ˜ f2 + + 2c2 a2 a2t − a2 . 2ga2 g Without loss of generality one may choose b1 = 0. c1 = 0. g g g g Substitution of ϕt into the third equation of (4. then Eq.4). (4. and the function ϕ(t. x) is found from the involu- tive system of equations ϕ˜ v a2 + u ˜ ϕa2 + c2 ϕt = 2 . (4. The function ϕ(t.14) can be solved with respect to the derivative ϕt : ϕ˜ v a2 + u ˜ ϕt = 2 . 2011 15:27 WSPC/1402-9251 259-JNMP S1402925111001696 Linearization of a Second-Order Stochastic Ordinary Differential Equation 437 Thus.17) implies that w ˜ = 0.1) is linearizable.18) Assuming first that λ3 = 0. In addition.4).8) and w˜ = 0.8) and (4. c1 = 0. The functions u ˜(t.September 26.15).17) where      a2tt gtt a2t f1 gt a2 λ3 = − − 2 2 + a2t − a2 + f0x − f0 f2 + . (4. c1 = 0. w (4. (4. ϕx = . . a2 g a2 a2 g g 1 f0 w ˜= 2 3 (−2˜ ˜(8a2t g − 2gt a2 + 2f1 ga2 + v˜)) − c2 + c1 . the stochastic dif- ferential equation (3. b2 = 0.15). ϕtt = ϕt b1 + a1 ϕ + c1 − c2 f0 /g.2) are determined by Eqs. x) and v˜(t.16) 2ga2 where ˜ = −2c2t ga2 + 2a2t c2 g + v˜c2 . u v˜ = 2gt a2 − 2a2t g + b1 ga2 − f1 ga2 . and v˜ = 2gt a2 − 2a2t g − f1 ga2 . Thus.1) is linearizable. a2 = 0. These assumptions imply that u ˜ = 0. x) is a solution of the involutive system of equations ϕx = c2 /g. Eq. ˜x = −c2 λ3 /g. stochastic differential equation (3. and the coefficients of the linear equation (3. (4.3) gives ϕλ3 + w ˜ = 0. Without loss of generality one may choose b1 = 0. ut ga2 + u 4g a2 g Notice that (ϕt )x − (ϕx )t = 0 and λ3x = −a2 λ3 /g. If a2 = 0. (4. b1 = 0. (4. (4. The remaining coefficients of the linear equation (3.

x). stochastic differential equation (3. and substitution into Eq. c2 = 0. which gives u ˜ = 0. A second-order stochastic differential equation ¨ = f (t. (4. a2 = gx − f2 g. b2 = 0. (4. c1 = 0. Then by (4.September 26. b1 = 0. X.20) 5. say b1 = 0 and c2 = 0. X. Meleshko & E. x) one has to integrate the involutive system of equations v˜ a2 ϕt = ϕ . X) X ˙ + g(t. (4. We summarize the above: Theorem 4. where the functions fi . (4. V. x. v) = vb2 (t) + ψ(t. x) + f0 (t. Because of the assump- tion ϕx = 0 the coefficients have to satisfy the condition c2 λ3 − a2 w ˜ = 0 as well. ϕx = ϕ . Schulz Thus a1 = f0x − f0 f2 − (2f1t − f12 )/4. x) + vf1 (t. in case b2 = 0 we are also able to obtain a linear equation where all but one of the coefficients of the stochastic part vanish.19). c1 λ3 2ga2 The remaining coefficients are a1 = (4f0x − 2f1t − 4f0 f2 + f12 )/4. c2 = 0.16) yields   λ3t v˜ λ3 w ˜t = w˜ + −u ˜ . v) = v 2 f2 (t. Thus. One can therefore choose only two of the coefficients arbitrarily. and in order to obtain the function ϕ(t. ψ and b2 satisfy the conditions f1x = 2f2t .19) λ3 2ga2 2ga22 Thus. 2011 15:27 WSPC/1402-9251 259-JNMP S1402925111001696 438 S. 2ga2 g When λ3 = 0 then one finds from (4.19). b1 = 0. and the coefficients of the lin- earized equation (3.8). (4.17) that ϕ = −w/λ ˜ 3. . g. b2 = 0. Linearizable Langevin Equations We illustrate our results by two examples. w˜ = c1 and v˜ = 2gt a2 − 2a2t g − f1 ga2 . x. (ψx − f2 ψ)x + f2t b2 = 0. x).2) need to satisfy (4. the coefficient c1 (t) can be found by solving c1t λ3t v˜ = + .4). X) ˙ W˙ is linearizable by a change of the dependent variables if and only if f (t.18) and (4. g(t. f0xx = f0x f2 + f2tt − f2t f1 + f2x f0 .1) is linearizable. a2 = gx − f2 g.2.

3). X)X˙ 2 + f1 (t. (4.2) This is the case b2 = 0. x) = e p(t) where ϕ0 (t) is a nontrivial solution of the equation 2ϕ0 + ϕ0 q = 0. it is of the form ¨ = p(t)X˙ 2 + [q(t) + 2p (t)X]X˙ + h(t)ep(t)X + α(t)X 2 + β(t)X + r(t) + σ W X ˙ . for otherwise conditions (4. c1 h 2 The equivalent linear stochastic differential equation is Y¨ = a1 (t)Y + c1 (t) − σp(t)Y W ˙ . these equations are necessarily of the form ¨ = f2 (t.1.20) ensure that this equation is already linear. f0 = h(t)ep(t)x + α(t)x2 + β(t)x + r(t).3) On the other hand. X) + σ W X ˙ . 2011 15:27 WSPC/1402-9251 259-JNMP S1402925111001696 Linearization of a Second-Order Stochastic Ordinary Differential Equation 439 The first example furnishes the class of second order Langevin equations (1.2) which are linearizable. A nonlinear Langevin equation is linearizable if. X)X˙ + f0 (t. (5. yielding an equivalent linear stochastic differential equation Y¨ = a1 (t)Y − σp(t)Y W ˙ where a1 = β − pr − q  /2 + q 2 /4. (5. (5.20) reduce to f2 = p(t).September 26. Both cases may be combined to: Theorem 5.1) with σ = 0. a2 = 0 discussed in the previous section. By Theorem 4.2. If h = 0. then a linearizing transformation is given by c1 (t) −p(t)x ϕ(t. Eqs. x) = − e p(t)h(t) where c1 (t) is a nontrivial solution of the equation c1 h q = − . Since g = σ = 0. f1 = q(t) + 2p (t)x. β = (qp − p )/p + 2(p /p)2 . and only if. with λ3 = hpepx . where α = (p )2 /p. then a linearizing transformation is given by ϕ0 (t) −p(t)x ϕ(t. where a1 is again defined by formula (5. We may assume that f2 = 0. if h = 0.

Equation (5. and only if. X) + b2 (t)X˙ W X ˙ where    1 f0 (t. Theorem 5. . All computations were initially performed using the REDUCE symbolic program. 2011 15:27 WSPC/1402-9251 259-JNMP S1402925111001696 440 S.4) by using the discussion of the b2 = 0 case of the previous section. but later carefully verified by hand.2). p(t) 2 A similar analysis can be applied to the following stochastic equation with multiplicative noise. Meleshko & E.4) is linearizable if. (5.2.3) and    1 c1 (t) = h(t) exp − q(t) dt . where a1 is given by (5. Details are omitted as they are easy to verify. Any linearizable Langevin equation can be reduced to the linear equation Y¨ = a1 (t)Y + c1 (t) − σp(t)Y W ˙ . 2 by means of the transformation    −1 1 y = ϕ(t. Thailand. x) = exp − q(t) dt − p(t)x . the Commission on Higher Education. V. x) = s(t) + h(t) β(x) dx β(x) with R β(x) = e− q(x) dx . X. Schulz where α and β are as defined in (5. X) ˙ . The transformation  y = ϕ(x) = β(x) dx maps any linearizable equation to the equation Y¨ = h(t)Y + r(t)Y˙ + s(t) + b2 (t)Y˙ W ˙ . Remark. X ˙ + b2 (t)X˙ W ¨ = f (t.September 26. Acknowledgments This research is supported by the Centre of Excellence in Mathematics. it is of the form ¨ = q(X)X˙ 2 + r(t)X˙ + f0 (t.

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