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On properties of a flow generated by an SDE with discontinuous drift


 
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1. Title Title of document On properties of a flow generated by an SDE with discontinuous drift
 
2. Creator Author's name, affiliation, country Olga Aryasova; Institute of Geophysics, National Academy of Sciences of Ukraine; Ukraine
 
2. Creator Author's name, affiliation, country Andrey Pilipenko; Institute of Mathematics, National Academy of Sciences of Ukraine; Ukraine
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) stochastic flow; local times; differentiability with respect to initial data
 
3. Subject Subject classification 60J65;60H10
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) Grant of the President of Ukraine, № F47/457-2012, State fund for fundamental researches of Ukraine and the Russian foundation for basic researches Grant F40.1/023
 
7. Date (YYYY-MM-DD) 2012-12-22
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/2138
 
10. Identifier Digital Object Identifier 10.1214/EJP.v17-2138
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 17
 
12. Language English=en en
 
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