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.
"Stability estimates for singular SDEs and applications." Electron. J. Probab. 28 1 - 31, 2023. https://doi.org/10.1214/23-EJP913