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

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.

preprint2013arXivOpen access
Olga V. AryasovaAndrey Yu. Pilipenko
math.PR
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Open access2 authors1 topic
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
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Olga V. AryasovaAndrey Yu. Pilipenko

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