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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 $\mathbf{R}^+ \times \mathbf{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, November 7, 2022 - 11:26:18 PM
Last modification on : Wednesday, November 9, 2022 - 3:55:37 AM

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  • HAL Id : hal-03373177, version 2
  • ARXIV : 2110.05251

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Thomas Cavallazzi. Itô-Krylov's formula for a flow of measures. 2022. ⟨hal-03373177v2⟩

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