We prove several stability estimates, comparing solutions driven by different , both for Itô and Stratonovich SDEs, possibly depending on negative Sobolev norms of the difference . We then discuss several applications of these results to McKean–Vlasov SDEs, criteria for strong compactness of solutions and Wong–Zakai type theorems.
LG was funded by the DFG under Germany’s Excellence Strategy – GZ 2047/1, project-id 390685813 during the completion of this work. CL acknowledges financial support by the DFG via Research Unit FOR 2402.
Lucio Galeati. Chengcheng Ling. "Stability estimates for singular SDEs and applications." Electron. J. Probab. 28 1 - 31, 2023. https://doi.org/10.1214/23-EJP913