I am dabbling in sorting algorithms in my Algorithms course in university.
Is there any proof for a lower bound on the asymptotic time cost of a sorting algorithm?
Or, to word my question differently, do we know whether it is possible to sort N elements faster than $N\log (N)$?
I assume you mean comparison-based. First, there are $n!$ permutations of the given input. One comparison halves the numbers of permutations so one definitely has to do $log_2(n!)$ comparisons, also know as $n*log_2(n)$.
Now, there are many situations where one could do significantly* better but requires some knowledge of the input data. Some examples are sorting, say, 64-bit integers, bounded integers or partial sorted input.
*significantly is a bit relative here: $n*log_2(n)$ is already plenty fast.