A Local-in-Time Theory for Singular SDEs with Applications to Fluid Models with Transport Noise
AbstractWe establish a local theory, i.e., existence, uniqueness and blow-up criterion, for a general family of singular SDEs in Hilbert spaces. The key requirement relies on an approximation property that allows us to embed the singular drift and diffusion mappings into a hierarchy of regular mappings that are invariant with respect to the Hilbert space and enjoy a cancellation property. Various nonlinear models in fluid dynamics with transport noise belong to this type of singular SDEs. By establishing a cancellation estimate for certain differential operators of order one with suitable coefficients, we give the detailed constructions of such regular approximations for certain examples. In particular, we show novel local-in-time results for the stochastic two-component Camassa–Holm system and for the stochastic Córdoba–Córdoba–Fontelos model.