On differentiability of stochastic flow for a multidimensional SDE with discontinuous drift
classification
🧮 math.PR
keywords
driftvectorboundedconsiderdataderivativedifferentiabilitydiffusion
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We consider a $d$-dimensional SDE with an identity diffusion matrix and a drift vector being a vector function of bounded variation. We give a representation for the derivative of the solution with respect to the initial data.
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