If you run some code on Windows and get an "Out of memory" error and then run the same code on Linux (on the same hardware) and Matlab just crashes, then yes, it might mean that you are out of memory in Linux too. Can you provide more details? What does your code do?
If you are in fact running out of memory, then the most obvious solution is to get more memory (if you can). Beyond that, you will have to re-write your code to work under your memory constraints. For instance, if you have big data matrices just sitting around doing nothing, then clear them away to make room for things you will use. If you make use of a lot of intermediate variables, try overwriting only a few variables instead.
