Loss of regularity for Kolmogorov equations (Q2338908)

The authors prove that there exists a second-order backward Kolmogorov equation in \(\mathbb R^d\) of the form \[ u_t=a_{ij}u_{ij}+\mu_i(x)u_i,\qquad u(0,x)=\varphi(x), \] where \((a_{ij})\) is a symmetric non-negative matrix, \(\mu_i\) are globally bounded and smooth, and \(\varphi\) is smooth and compactly supported, such that there exists no globally bounded classical solution. Furthermore, it is proved that there exists a unique globally bounded viscosity solution that is continuous but not locally Hölder continuous. Consequently, the corresponding stochastic differential equation with degenerate noise has a roughening effect. Finally, it is proved that the standard Euler approximations converge to the exact solution in the strong and numerically weak sense at a rate that is slower than any power law.