The flows generated by vector fields of Sobolev type and the corresponding transformations of probability measures
Initial value problems, existence, uniqueness, continuous dependence and continuation of solutions to ordinary differential equations (34A12) Ordinary differential equations and systems with randomness (34F05) Nonlinear differential equations in abstract spaces (34G20) Measures and integration on abstract linear spaces (46G12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Let \(A\) be a vector field and \(\mu\) a probability measure on the space \(X\) which may be \(\mathbb{R}^n\) or a Banach space. The existence and uniqueness of a flow \(U_t\), \(t\in\mathbb{R}\), defined by \(A\) (i.e. the solution \(\dot U= A(U)\)) is studied under weak regularity conditions on \(A\). It is assumed that \(A\) and \(\mu\) are smooth which for the case \(X=\mathbb{R}^n\) means that \(\mu\) has density \(\rho\) and both \(A\) and \(\rho\) belong to a Sobolev space. Then the divergence \(\delta_\mu A\) is defined which for \(\mathbb{R}^n\) equals \(\text{div }A + (A,\nabla\rho/\rho)\). It is shown that the integrability of \(\text{exp}|\delta_\mu A|\) is close to the optimal condition which ensures the existence of absolutely continuous flows \((\mu U^{-1}_t\ll \mu; U_{t+s} = U_t\circ U_s)\) both in the finite- and infinite-dimensional cases. Some estimates on solutions and formulas for the densities of \(\mu U^{-1}_t\) are also given. The results are obtained under weaker assumptions than known from the literature e.g. \textit{R. J. DiPerna} and \textit{P. L. Lions} [Invent. Math. 98, No.~3, 511-547 (1989; Zbl 0696.34049)].
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