Regularity of solutions to differential equations with non-Lipschitz coefficients (Q924910)

Consider ordinary and stochastic differential equations (SDEs) with non-Lipschitz coefficients \[ dX(t) = \sum^N_{i=1} A_i (X(t)) dW^i(t) + A_0(X(t))dt,\quad X(0)=x \in \mathbb R^d \] driven by standard Wiener processes \(W^i\). Regularity of their solutions is investigated. The main result shows that, if \(div(A_0) \in L^1_{loc} (\mathbb R^d)\), then certain subsets \(E \subset \mathbb R^d\) with Hausdorff dimension \(dim_H (E) < d\) and sufficiently small diameters have a push-forward Lebesgue measure \(\lambda_t (E) = 0\) for all \(t \geq 0\), where \(\lambda_t = \lambda \circ X^{-1}(t)\) with Lebesgue measure \(\lambda\). The concept of transport equations is used in the main proof.