Stability estimates for singular SDEs and applications
- 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.
| Author: | Lucio Galeati, Chengcheng LingORCiDGND |
|---|---|
| URN: | urn:nbn:de:bvb:384-opus4-1086636 |
| Frontdoor URL | https://opus.bibliothek.uni-augsburg.de/opus4/108663 |
| ISSN: | 1083-6489OPAC |
| Parent Title (English): | Electronic Journal of Probability |
| Publisher: | Institute of Mathematical Statistics |
| Place of publication: | Seattle, WA |
| Type: | Article |
| Language: | English |
| Year of first Publication: | 2023 |
| Publishing Institution: | Universität Augsburg |
| Release Date: | 2023/10/24 |
| Tag: | Statistics and Probability; Statistics, Probability and Uncertainty |
| Volume: | 28 |
| First Page: | 1 |
| Last Page: | 31 |
| DOI: | https://doi.org/10.1214/23-ejp913 |
| Institutes: | Mathematisch-Naturwissenschaftlich-Technische Fakultät |
| Mathematisch-Naturwissenschaftlich-Technische Fakultät / Institut für Mathematik | |
| Mathematisch-Naturwissenschaftlich-Technische Fakultät / Institut für Mathematik / Lehrstuhl für Nichtlineare Analysis | |
| Dewey Decimal Classification: | 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik |
| Licence (German): |  CC-BY 4.0: Creative Commons: Namensnennung |
