Noise Prevents Singularities in Linear Transport Equations

Abstract

A stochastic linear transport equation with multiplicative noise is considered and the question of no-blow-up is investigated. The drift is assumed only integrable to a certain power. Opposite to the deterministic case where smooth initial conditions may develop discontinuities, we prove that a certain Sobolev degree of regularity is maintained, which implies H\"older continuity of solutions. The proof is based on a careful analysis of the associated stochastic flow of characteristics.