arXiv:1211.4975 Abstract | arXiv Analytics

arXiv:1211.4975 [math.PR]Abstract References Reviews Resources

On differentiability with respect to the initial data of a solution of an SDE with Lévy noise and discontinuous coefficients

Published 2012-11-21, updated 2013-06-21Version 4

We construct a stochastic flow generated by an SDE with L\'evy noise and a drift coefficient being a function of bounded variation on R. It is proved that this flow is non-coalescing and Sobolev differentiable with respect to initial data. The representation for the derivative is given.

Comments: 10 pages

DOI: 10.1080/17442508.2013.865133

Categories: math.PR

Subjects: 60J65, 60H10

Keywords: initial data, lévy noise, discontinuous coefficients, differentiability, levy noise

Tags: journal article

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