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2012 On properties of a flow generated by an SDE with discontinuous drift
Olga Aryasova, Andrey Pilipenko
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Electron. J. Probab. 17: 1-20 (2012). DOI: 10.1214/EJP.v17-2138

Abstract

We consider a stochastic flow on $\mathbb{R}$ 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.

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Olga Aryasova. Andrey Pilipenko. "On properties of a flow generated by an SDE with discontinuous drift." Electron. J. Probab. 17 1 - 20, 2012. https://doi.org/10.1214/EJP.v17-2138

Information

Accepted: 22 December 2012; Published: 2012
First available in Project Euclid: 4 June 2016

zbMATH: 1283.60086
MathSciNet: MR3015690
Digital Object Identifier: 10.1214/EJP.v17-2138

Subjects:
Primary: 60J65
Secondary: 60H10

JOURNAL ARTICLE
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Vol.17 • 2012
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