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

Olga Aryasova (Institute of Geophysics, National Academy of Sciences of Ukraine)
Andrey Pilipenko (Institute of Mathematics, National Academy of Sciences of Ukraine)

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.

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Pages: 1-20

Publication Date: December 22, 2012

DOI: 10.1214/EJP.v17-2138

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