On differentiability of stochastic flow for a multidimensional SDE with discontinuous drift

被引：3

作者：

Aryasova, Olga V. ^{[1
]}

Pilipenko, Andrey Yu. ^{[2
]}

机构：

[1] Natl Acad Sci Ukraine, Inst Geophys, Kiev, Ukraine

[2] Natl Acad Sci Ukraine, Inst Math, Kiev, Ukraine

来源：

ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2014年 / 19卷

关键词：

Stochastic flow; Continuous additive functional; Differentiability with respect to initial data; BROWNIAN-MOTION;

D O I：

10.1214/ECP.v19-2886

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：1 / 17

页数：17

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