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arXiv · 1212.5128

Remarks on differentiability in the initial data for stochastic reflecting flow

Andrey Pilipenko
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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.

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Andrey Pilipenko. 2012-12-20. Remarks on differentiability in the initial data for stochastic reflecting flow. https://arxiv.org/abs/1212.5128

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