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On exponential decay of a distance between solutions of an SDE with non-regular drift (1912.12457v2)
Published 28 Dec 2019 in math.PR
Abstract: We consider a multidimensional stochastic differential equation with a Gaussian noise and a drift vector having a jump discontinuity along a hyperplane. The large time behavior of the distance between two solutions starting from different points is studied.We consider a multidimensional stochastic differential equation with a Gaussian noise and a drift vector having a jump discontinuity along a hyperplane. The large time behavior of the distance between two solutions starting from different points is studied.