Remarks on differentiability in the initial data for stochastic reflecting flow
Probability
2012-12-21 v1
Abstract
Stochastic flows generated by reflected SDEs in a half-plane with an additive diffusion term are considered. A derivative in the initial data is represented a.s. as an infinite product of matrices. We use this representation and construct an example of a reflecting flow with a linear drift such that it is not locally continuously differentiable.
Cite
@article{arxiv.1212.5128,
title = {Remarks on differentiability in the initial data for stochastic reflecting flow},
author = {Andrey Pilipenko},
journal= {arXiv preprint arXiv:1212.5128},
year = {2012}
}
Comments
12 pages