On exponential decay of a distance between solutions of an SDE with non-regular drift
Probability
2020-03-11 v2
Abstract
We consider a multidimensional stochastic differential equation with a Gaussian noise and a drift vector having a jump discontinuity along a hyperplane. The large time behavior of the distance between two solutions starting from different points is studied.We consider a multidimensional stochastic differential equation with a Gaussian noise and a drift vector having a jump discontinuity along a hyperplane. The large time behavior of the distance between two solutions starting from different points is studied.
Keywords
Cite
@article{arxiv.1912.12457,
title = {On exponential decay of a distance between solutions of an SDE with non-regular drift},
author = {Olga Aryasova and Andrey Pilipenko},
journal= {arXiv preprint arXiv:1912.12457},
year = {2020}
}