On differentiability with respect to the initial data of a solution of an SDE with Lévy noise and discontinuous coefficients
arXiv:1211.4975 · doi:10.1080/17442508.2013.865133
Abstract
We construct a stochastic flow generated by an SDE with Lévy 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.
10 pages