On differentiability with respect to the initial data of the solution to an SDE with a Lévy noise and discontinuous coefficients
Анотація
We construct a stochastic flow generated by an SDE with L\'evy 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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