On differentiability of stochastic flow for a multidimensional SDE with discontinuous drift
Probability
2016-05-24 v3
Abstract
We consider a -dimensional SDE with an identity diffusion matrix and a drift vector being a vector function of bounded variation. We give a representation for the derivative of the solution with respect to the initial data.
Cite
@article{arxiv.1306.4816,
title = {On differentiability of stochastic flow for a multidimensional SDE with discontinuous drift},
author = {Olga Aryasova and Andrey Pilipenko},
journal= {arXiv preprint arXiv:1306.4816},
year = {2016}
}
Comments
15 pages