On the Bounded Variation of the Flow of Stochastic Differential Equation

  • Mohamed ErraouiEmail author
  • Youssef Ouknine
Conference paper
Part of the Springer Proceedings in Mathematics book series (PROM, volume 7)


We consider a stochastic differential equation, driven by a Brownian motion, with non Lipschitz coefficients. We consider the class BV which is larger than Sobolev space and got a sufficient condition for a solution of stochastic differential equation to belong to the class BV. As a consequence we prove that the corresponding flow is, almost surely, almost every where derivable with respect to initial data. The result is a partial extension of the result of N. Bouleau and F. Hirsch on the derivability, with respect to the initial data, of the solution of a stochastic differential equation with Lipschitz coefficients.


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The authors wish to thank the anonymous referee for the suggestion of a simple proof of Lemma 1. This work was supported by the Academy Hassan II of Sciences and Technology

Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  1. 1.Faculté des Sciences Semlalia, Département de MathématiquesUniversité Cadi AyyadMarrakechMaroc

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