Sobolev differentiable stochastic flows for SDEs with singular coefficients: applications to the transport equation (Q2352761)

The authors developed a new approach for constructing a Sobolev differentiable stochastic flow for a stochastic differential equation (SDE) of the form \[ dX_t=b(t, X_t) dt+dB_t, \quad s,t\in \mathbb R, \,\, X_s=x\in \mathbb R^d, \] where \(b:\mathbb R\times\mathbb R^d\to\mathbb R^d\) is a bounded measurable coefficient and \(B\) is a \(d\)-dimensional Brownian motion. The approach is based on Malliavin calculus ideas coupled with new probabilistic estimates on the spatial weak derivatives of solutions of SDEs. A unique feature of these estimates is that they do not depend on the spatial regularity of the drift coefficient \(b\). The existence of a Sobolev differentiable stochastic flow for an SDE is exploited to obtain a unique weak solution of the Stratonovich stochastic transport equation.