STOCHASTIC FLOWS OF DIFFEOMORPHISMS FOR ONE-DIMENSIONAL SDE WITH DISCONTINUOUS DRIFT

被引：20

作者：

Attanasio, Stefano ^{[1
]}

机构：

[1] Scuola Normale Super Pisa, I-56126 Pisa, Italy

来源：

ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2010年 / 15卷

关键词：

Stochastic flows; Local time;

D O I：

10.1214/ECP.v15-1545

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：

The existence of a stochastic flow of class C-1,C-alpha, for alpha < 1/2, for a 1-dimensional SDE will be proved under mild conditions on the regularity of the drift. The diffusion coefficient is assumed constant for simplicity, while the drift is an autonomous BV function with distributional derivative bounded from above or from below. To reach this result the continuity of the local time with respect to the initial datum will also be proved.

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收藏

页码：213 / 226

页数：14

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