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2014 On differentiability of stochastic flow for а multidimensional SDE with discontinuous drift
Olga Aryasova, Andrey Pilipenko
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Electron. Commun. Probab. 19(none): 1-17 (2014). DOI: 10.1214/ECP.v19-2886

Abstract

We consider a d-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.

Citation

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Olga Aryasova. Andrey Pilipenko. "On differentiability of stochastic flow for а multidimensional SDE with discontinuous drift." Electron. Commun. Probab. 19 1 - 17, 2014. https://doi.org/10.1214/ECP.v19-2886

Information

Accepted: 15 July 2014; Published: 2014
First available in Project Euclid: 7 June 2016

zbMATH: 1310.60071
MathSciNet: MR3233207
Digital Object Identifier: 10.1214/ECP.v19-2886

Subjects:
Primary: 60J65
Secondary: 60H10

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