Stochastic flows with reflection

Details Stochastic flows with reflection Stochastic flows with reflection

2008-10-25

arxiv.org/abs/0810.4644v1

Pilipenko A.Yu. Stochastic flows with reflection. Dopov. Nats. Akad. Nauk Ukr. Mat. Prirodozn. Tekh. Nauki, 2005, No. 10, 23--

Mathematics

Probability

10 pages

Scientific paper

Some topological properties of stochastic flow $\varphi_t(x)$ generated by
stochastic differential equation in a ${\mathbb R}^d_+$ with normal reflection
at the boundary are investigated. Sobolev differentiability in initial
condition is received. The absolute continuity of the measure-valued process
$\mu\circ\varphi_t^{-1}$, where $\mu\ll\lambda^d,$ is studied.

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