Quasi-invariance of the stochastic flow associated to Itô's SDE with singular time-dependent drift

Abstract: In this paper we consider the It^o SDE

d X_t=d W_t+b(t,X_t),d t, quad X_0=xin {mathbb R}^d,

where

W_{t}

is a

d

-dimensional standard Wiener process and the drift coefficient

b : [0, T] i m e s {m a t h b b R}^{d} o {m a t h b b R}^{d}

belongs to

L^{q} (0, T; L^{p} ({m a t h b b R}^{d}))

with

p g e q 2, q > 2

and

f r a c d p + f r a c 2 q < 1

. In 2005, Krylov and R"ockner cite{KR05} proved that the above equation has a unique strong solution

X_{t}

. Recently it was shown by Fedrizzi and Flandoli cite{FF13b} that the solution

X_{t}

is indeed a stochastic flow of homeomorphisms on

{m a t h b b R}^{d}

. We prove in the present work that the Lebesgue measure is quasi-invariant under the flow

X_{t}

.

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