Remarks on differentiability in the initial data for stochastic reflecting flow
arXiv:1212.5128
Abstract
Stochastic flows generated by reflected SDEs in a half-plane with an additive diffusion term are considered. A derivative in the initial data is represented a.s. as an infinite product of matrices. We use this representation and construct an example of a reflecting flow with a linear drift such that it is not locally continuously differentiable.
12 pages