On exponential decay of a distance between solutions of an SDE with non-regular drift

Olga Aryasova; Andrey Pilipenko

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arXiv · 1912.12457

On exponential decay of a distance between solutions of an SDE with non-regular drift

Olga Aryasova·Andrey Pilipenko

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Abstract

We consider a multidimensional stochastic differential equation with a Gaussian noise and a drift vector having a jump discontinuity along a hyperplane. The large time behavior of the distance between two solutions starting from different points is studied.We consider a multidimensional stochastic differential equation with a Gaussian noise and a drift vector having a jump discontinuity along a hyperplane. The large time behavior of the distance between two solutions starting from different points is studied.

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Olga Aryasova, Andrey Pilipenko. 2019-12-28. On exponential decay of a distance between solutions of an SDE with non-regular drift. https://arxiv.org/abs/1912.12457

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