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

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.

19 pages

References in corpus (1)

• Lenses in Skew Brownian Flow

Cited by in corpus (3)

• A new approach to SLE phase transition
• On exponential decay of a distance between solutions of an SDE with non-regular drift
• On differentiability of stochastic flow for a multidimensional SDE with discontinuous drift