Non-uniqueness in law of transport-diffusion equation forced by random noise

Abstract

We consider a transport-diffusion equation forced by random noise of three types: additive, linear multiplicative in Itô's interpretation, and transport in Stratonovich's interpretation. Via convex integration modified to probabilistic setting, we prove existence of a divergence-free vector field with spatial regularity in Sobolev space and corresponding solution to a transport-diffusion equation with spatial regularity in Lebesgue space, and consequently non-uniqueness in law at the level of probabilistically strong solutions globally in time.