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On properties of a flow generated by an SDE with discontinuous drift
- Source :
- Electron. J. Probab.
- Publication Year :
- 2012
- Publisher :
- The Institute of Mathematical Statistics and the Bernoulli Society, 2012.
-
Abstract
- We consider a stochastic flow on $\mathds{R}$ 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.<br />19 pages
- Subjects :
- Statistics and Probability
Discrete mathematics
60J65, 60H10
Stochastic flow
Probability (math.PR)
Mathematical analysis
differentiability with respect to initial data
Function (mathematics)
stochastic flow
local times
Physics::Fluid Dynamics
Flow (mathematics)
Mathematics::Probability
Bounded variation
FOS: Mathematics
60J65
Differentiable function
60H10
Statistics, Probability and Uncertainty
Mathematics - Probability
Mathematics
Subjects
Details
- Language :
- English
- Database :
- OpenAIRE
- Journal :
- Electron. J. Probab.
- Accession number :
- edsair.doi.dedup.....86cc14809b5e432732326e0509ea2172