Remarks on differentiability in the initial data for stochastic reflecting flow

Publication date 20 December 2012

Diffusion processes and stochastic analysis on manifolds (58J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random operators and equations (aspects of stochastic analysis) (60H25)

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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