Stochastic flows of diffeomorphisms for one-dimensional SDE with discontinuous drift

Stefano Attanasio (Scuola Normale Superiore)

Abstract


The existence of a stochastic flow of class $C^{1,\alpha}$, 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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Pages: 213-226

Publication Date: June 9, 2010

DOI: 10.1214/ECP.v15-1545

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