We prove several stability estimates, comparing solutions driven by different (bi,σi), both for Itô and Stratonovich SDEs, possibly depending on negative Sobolev norms of the difference b1−b2. We then discuss several applications of these results to McKean–Vlasov SDEs, criteria for strong compactness of solutions and Wong–Zakai type theorems.
Stability estimates for singular SDEs and applications
Galeati L;
2023-01-01
Abstract
We prove several stability estimates, comparing solutions driven by different (bi,σi), both for Itô and Stratonovich SDEs, possibly depending on negative Sobolev norms of the difference b1−b2. We then discuss several applications of these results to McKean–Vlasov SDEs, criteria for strong compactness of solutions and Wong–Zakai type theorems.File in questo prodotto:
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