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


 
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1. Title Title of document On differentiability of stochastic flow for а multidimensional SDE with discontinuous drift
 
2. Creator Author's name, affiliation, country Olga Aryasova; National Academy of Sciences of Ukraine; Ukraine
 
2. Creator Author's name, affiliation, country Andrey Pilipenko; National Academy of Sciences of Ukraine; Ukraine
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Stochastic flow; Continuous additive functional; Differentiability with respect to initial data
 
3. Subject Subject classification 60J65, 60H10
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2014-07-15
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/2886
 
10. Identifier Digital Object Identifier 10.1214/ECP.v19-2886
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 19
 
12. Language English=en en
 
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