Stochastic ODEs and stochastic linear PDEs with critical drift: regularity, duality and uniqueness

DOI10.1214/19-EJP379zbMATH Open1427.60103arXiv1401.1530WikidataQ114060539 ScholiaQ114060539MaRDI QIDQ2279332FDOQ2279332

Authors: Lisa Beck, Mario Maurelli, Franco Flandoli, Massimiliano Gubinelli 

Publication date: 12 December 2019

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: In this paper linear stochastic transport and continuity equations with drift in critical $L^p$ spaces are considered. In this situation noise prevents shocks for the transport equation and singularities in the density for the continuity equation, starting from smooth initial conditions. Specifically, we first prove a result of Sobolev regularity of solutions, which is false for the corresponding deterministic equation. The technique needed to reach the critical case is new and based on parabolic equations satisfied by moments of first derivatives of the solution, opposite to previous works based on stochastic flows. The approach extends to higher order derivatives under more regularity of the drift term. By a duality approach, these regularity results are then applied to prove uniqueness of weak solutions to linear stochastic continuity and transport equations and certain well-posedness results for the associated stochastic differential equation (sDE) (roughly speaking, existence and uniqueness of flows and their $C^{a}lpha$ regularity, strong uniqueness for the sDE when the initial datum has diffuse law). Finally, we show two types of examples: on the one hand, we present well-posed sDEs, when the corresponding ODEs are ill-posed, and on the other hand, we give a counterexample in the supercritical case.

Full work available at URL: https://arxiv.org/abs/1401.1530

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zbMATH Keywords

regularitystochastic transport equationregularization by noisepath-by-path uniquenessstochastic continuity equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Smoothness and regularity of solutions to PDEs (35B65) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02)

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