On exponential decay of a distance between solutions of an SDE with\n non-regular drift

2019/12/28 by Olga Aryasova, Aryasova, Olga, Andrey Pilipenko +1
Computer Science · Economics, Econometrics and Finance · Engineering · Mathematics · #60H10 #60H99 #Advanced Mathematical Modeling in Engineering #FOS: Mathematics #Probability (math.PR) #Stability and Controllability of Differential Equations #Stochastic processes and financial applications #advanced mathematical theories

paper · pdf · doi:10.48550/arxiv.1912.12457

openalex publication_date 2019/12/28 · openalex created_date 2022/07/26 · openalex updated_date 2026/07/28

Abstract

We consider a multidimensional stochastic differential equation with a\nGaussian noise and a drift vector having a jump discontinuity along a\nhyperplane. The large time behavior of the distance between two solutions\nstarting from different points is studied.We consider a multidimensional\nstochastic differential equation with a Gaussian noise and a drift vector\nhaving a jump discontinuity along a hyperplane. The large time behavior of the\ndistance between two solutions starting from different points is studied.\n

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