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arXiv · 1211.4975

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

Olga V. Aryasova·Andrey Yu. Pilipenko
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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.

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Olga V. Aryasova, Andrey Yu. Pilipenko. 2013-06-21. On differentiability with respect to the initial data of a solution of an SDE with Lévy noise and discontinuous coefficients. https://doi.org/10.1080/17442508.2013.865133

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