On properties of a flow generated by an SDE with discontinuous drift
Probability
2014-04-10 v2
Abstract
We consider a stochastic flow on generated by an SDE with its drift being a function of bounded variation. We show that the flow is differentiable with respect to the initial conditions. Asymptotic properties of the flow are studied.
Keywords
Cite
@article{arxiv.1207.1267,
title = {On properties of a flow generated by an SDE with discontinuous drift},
author = {Olga V. Aryasova and Andrey Yu. Pilipenko},
journal= {arXiv preprint arXiv:1207.1267},
year = {2014}
}
Comments
19 pages