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Itô-Krylov's formula for a flow of measures

Abstract : We prove Itô's formula for the flow of measures associated with an Itô process having a bounded drift and a uniformly elliptic and bounded diffusion matrix, and for functions in an appropriate Sobolev-type space. This formula is the almost analogue, in the measure-dependent case, of the Itô-Krylov formula for functions in a Sobolev space on $R^+ \times R^d $.
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Preprints, Working Papers, ...
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https://hal.archives-ouvertes.fr/hal-03373177
Contributor : Thomas Cavallazzi Connect in order to contact the contributor
Submitted on : Monday, October 11, 2021 - 1:23:00 PM
Last modification on : Friday, May 20, 2022 - 9:04:49 AM
Long-term archiving on: : Wednesday, January 12, 2022 - 7:44:58 PM

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  • HAL Id : hal-03373177, version 1
  • ARXIV : 2110.05251

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Thomas Cavallazzi. Itô-Krylov's formula for a flow of measures. 2021. ⟨hal-03373177⟩

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