A representation for the derivative with respect to the initial data of the solution of an SDE with a non-regular drift and a Gaussian noise

Olga Aryasova, Andrey Pilipenko

Published 2016-05-23Version 1

We consider a multidimensional SDE with a Gaussian noise and a drift vector being a vector function of bounded variation. We prove the existence of generalized derivative of the solution with respect to the initial conditions and represent the derivative as a solution of a linear SDE with coefficients depending on the initial process. The representation obtained is a natural generalization of the expression for the derivative in the smooth case. The theory of continuous additive functionals is used.