3 ON DIFFERENTIABILITY WITH RESPECT TO THE INITIAL DATA OF A SOLUTION OF AN SDE WITH LEVY NOISE AND DISCONTINUOUS COEFFICIENTS
Анотація
We construct a stochastic flow generated by an SDE with its drift being a function of bounded variation and its noise being a stable process with exponent from (1,2).It is proved that the flow is non-coalescing and Sobolev differentiable with respect to initial data.The representation for the derivative is given.
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