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arXiv 1209.6035math.APmath.PR
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Kolmogorov方程的正则性损失

Loss of regularity for Kolmogorov equations

Martin Hairer, Martin Hutzenthaler, Arnulf Jentzen

摘要:

著名的Hörmander条件是一个二阶线性Kolmogorov偏微分方程(PDE)是亚椭圆的充分(几乎必要)条件。因此,Kolmogorov偏微分方程的解在所有正时间都是光滑的,如果偏微分方程的系数是光滑的,并且满足Hörmander条件,即使初始函数是连续的但不可微的。具有光滑系数的一阶线性Kolmogorov偏微分方程不具有这种光滑效应,但至少在解是光滑的意义上保持正则性,如果它们的初始函数是光滑的。在这篇文章中,我们考虑了具有光滑系数的非亚椭圆二阶Kolmogorov偏微分方程的中间区域。本文的主要观察是,在这种情况下,存在正则性保持的反例。更准确地说,我们给出了一个例子,二阶线性Kolmogorov PDE的全局有界和光滑的系数和光滑的初始函数的紧支持,使唯一的全局有界的黏性解的PDE甚至不是局部Hölder连续的。从概率论的角度来看,这个例子PDE的存在性的结果是,存在一个随机微分方程(PDE),具有全局有界和光滑的系数和一个光滑函数,具有紧支撑,由相应的过渡半群映射到一个函数,这不是局部霍德尔连续的。换句话说,退化噪声可以具有粗糙化效果。这种失去规律性现象的进一步含义是,数值逼近可以在没有任何任意小的多项式收敛速率的情况下收敛到解的真实解。更确切地说,我们证明了一个例子的全局有界和光滑系数的标准欧拉近似收敛到精确解的强和数值弱意义上的,但在速度慢,然后任何幂律。

英文摘要:

The celebrated Hörmander condition is a sufficient (and nearly necessary) condition for a second-order linear Kolmogorov partial differential equation (PDE) with smooth coefficients to be hypoelliptic. As a consequence, the solutions of Kolmogorov PDEs are smooth at all positive times if the coefficients of the PDE are smooth and satisfy Hörmander's condition even if the initial function is only continuous but not differentiable. First-order linear Kolmogorov PDEs with smooth coefficients do not have this smoothing effect but at least preserve regularity in the sense that solutions are smooth if their initial functions are smooth. In this article, we consider the intermediate regime of nonhypoelliptic second-order Kolmogorov PDEs with smooth coefficients. The main observation of this article is that there exist counterexamples to regularity preservation in that case. More precisely, we give an example of a second-order linear Kolmogorov PDE with globally bounded and smooth coefficients and a smooth initial function with compact support such that the unique globally bounded viscosity solution of the PDE is not even locally Hölder continuous. From the perspective of probability theory, the existence of this example PDE has the consequence that there exists a stochastic differential equation (SDE) with globally bounded and smooth coefficients and a smooth function with compact support which is mapped by the corresponding transition semigroup to a function which is not locally Hölder continuous. In other words, degenerate noise can have a roughening effect. A further implication of this loss of regularity phenomenon is that numerical approximations may converge without any arbitrarily small polynomial rate of convergence to the true solution of the SDE. More precisely, we prove for an example SDE with globally bounded and smooth coefficients that the standard Euler approximations converge to the exact solution of the SDE in the strong and numerically weak sense, but at a rate that is slower then any power law.

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