Stochastic transport equation with bounded and Dini continuous drift (Q2124519)

The authors consider the stochastic transport equation \[ \partial _{t}u(t,x)+b(t,x)\cdot \nabla u(t,x)+\sum_{i=1}^{d}\partial _{x_{i}}u(t,x)\circ \overset{.}{B}_{i}(t)=0, \] posed in \((0,T)\times \mathbb{R }^{d}\), with the initial condition \(u(0,x)=u_{0}(x)\in L^{\infty }(\mathbb{R} ^{d})\). The drift coefficient \(b:[0,T]\times \mathbb{R}^{d}\rightarrow \mathbb{R}^{d}\) is a measurable function in \(L^{1}([0,T];L_{loc}^{1}(\mathbb{ R}^{d};\mathbb{R}^{d}))\) and \(\{B(t)\}_{t\geq 0}=\{(B_{1}(t),B_{2}(t), \) ... \( ,B_{d}(t))\}_{t\geq 0}\) is a \(d\)-dimensional standard Brownian motion defined on a stochastic basis \((\Omega ,\mathcal{F},\mathbb{P},( \mathcal{F}_{t})_{t\geq 0})\). The stochastic integration denoted as \(\circ \) is interpreted in Stratonovich sense. The authors prove the existence of a unique weak \(L^{\infty }\)-solution to this problem, assuming that the drift is bounded and Dini-continuous. They first consider the Cauchy problem \( \partial _{t}u(t,x)=\frac{1}{2}\Delta u(t,x)+g(t,x)\cdot \nabla u(t,x)+f(t,x) \), posed in \((0,T)\times \mathbb{R}^{d}\), with the initial condition \( u(0,x)=u_{0}(x)\). The function \(u(t,x)\) is called a strong solution to this parabolic problem if \(u\in L^{\infty }([0,T];W^{2,\infty }(\mathbb{R} ^{d}))\cap W^{1,\infty }([0,T];L^{\infty }(\mathbb{R}^{d}))\) is such that the above equation is satisfied for almost all \((t,x)\in \lbrack 0,T]\times \mathbb{R}^{d}\). The authors prove an equivalent\ form for a strong solution which involves the kernel \(K(t,x)=(2\pi t)^{-d/2}e^{-|x|^{2}/2t}\), \(t>0\), \(x\in \mathbb{R}^{d}\). They recall the notion of Dini function for an increasing and continuous function and its main properties. They prove that if \(f\in L^{\infty }([0,T];C_{b}(\mathbb{R}^{d}))\), \(g\in L^{\infty }([0,T];C_{b}(\mathbb{R}^{d};\mathbb{R}^{d}))\), and there exists a Dini function \(\phi \), which is also a slowly varying function at zero, such that for every \(x\in \mathbb{R}^{d}\) \(\left\vert f(t,x)-f(t,y)\right\vert +\left\vert g(t,x)-g(t,y)\right\vert \leq \phi (|x-y|)\), for all \(y\in B_{r_{0}}(x)\), \(t\in \lbrack 0,T]\), and for some \(r_{0}\in (0,1)\), the above Cauchy problem has a unique strong solution \(u\) which satisfies \(L^{\infty }([0,T];C_{b}^{2}(\mathbb{R}^{d}))\)-estimates and further properties. They then consider the stochastic differential equation \( dX(s,t)=b(t,X(s,t))dt+dB(t)\), \(t\in (s,T]\), \(X(s,t)\mid _{t=s}=x\) to which they associate a quasi-diffeomorphism flow of class \(C^{\beta }\) (\(\beta >1\)) on \((\Omega ,\mathcal{F},\mathbb{P},(\mathcal{F}_{t})_{t\geq 0})\). They prove that if \(b\in L^{\infty }([0,T];C_{b}(\mathbb{R}^{d};\mathbb{R}^{d}))\) and there exists a Dini function \(\phi \), which is also a slowly varying function at zero, such that for every \(x\in \mathbb{R}^{d}\) \(\left\vert b(t,x)-b(t,y)\right\vert \leq \phi (|x-y|)\), for all \(y\in B_{r_{0}}(x)\), \( t\in \lbrack 0,T]\), and for some \(r_{0}\in (0,1)\), and which satisfies further properties, then for every \(s\in \lbrack 0,T]\) and \(x\in \mathbb{R} ^{d}\) , the preceding stochastic differential equation has a unique continuous adapted solution \(\{X(s,t,x)(\omega )\), \(t\in \lbrack s,T]\), \( \omega \in \Omega \}\), which forms a stochastic quasi-diffeomorphisms flow. The authors here follow the strategy proposed by \textit{F. Flandoli}, \textit{M. Gubinelli} and \textit{E. Priola} in [Invent. Math. 180, No. 1, 1--53 (2010; Zbl 1200.35226)] to establish this existence result which extends that of these authors. Coming back to the stochastic transport equation and assuming \(b\in L^{1}([0,T];L_{loc}^{1}(\mathbb{R}^{d};\mathbb{R} ^{d}))\) with \(div \ b\in L^{1}([0,T];L_{loc}^{1}(\mathbb{R}^{d}))\) and \( u_{0}(x)\in L^{\infty }(\mathbb{R}^{d})\), the authors define a weak \( L^{\infty }\)-solution as a function \(L^{\infty }(\Omega \times \lbrack 0,T];L^{\infty }(\mathbb{R}^{d}))\) such that for every \(\varphi \in C_{0}^{\infty }(\mathbb{R}^{d})\), \(\int_{\mathbb{R}^{d}}\varphi (x)u(t,x)dx\) has a continuous modification which is an \(\mathcal{F}_{t}\)-semimartingale and for every \(t\in \lbrack 0,T]\) \(\int_{\mathbb{R}^{d}}\varphi (x)u(t,x)dx=\int_{\mathbb{R}^{d}}\varphi (x)u_{0}(x)dx+\int_{0}^{t}\int_{ \mathbb{R}^{d}}div \ b(s,x)\varphi (x)u(s,x)dsdx+\sum_{i=1}^{d}\int_{0}^{t}\circ dB_{i}(s)\int_{\mathbb{R} ^{d}}\partial _{x_{i}}\varphi (x)u(s,x)dsdx\) \(\mathbb{P}\) -a.s.. The main result of the paper proves that if \(div \ b \in L^{q}([0,T]\times \mathbb{ R}^{d})\) for some \(q>2\), there exists a unique weak \(L^{\infty }\)-solution to the stochastic transport problem. Moreover, the unique weak solution can be represented as \(u(t,x)=u_{0}(X^{-1}(t,x))\), \(X(t,x)=X(0,t,x)\) being the unique strong solution to the associated stochastic differential equation with \(s=0\). For the proof, the authors use a relationship between the Stratonovich and the Itô integrals and the previously proved results.