Itô's formula for flows of measures on semimartingales
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Publication:2698485
DOI10.1016/j.spa.2023.02.004OpenAlexW4320489997MaRDI QIDQ2698485
Xiaoli Wei, Huyên Pham, Xin Guo
Publication date: 24 April 2023
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2010.05288
semimartingalesItô's formulacylindrical functionsflows of probability measuresMcKean-Vlasov controls
Interacting random processes; statistical mechanics type models; percolation theory (60K35) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (3)
Itô-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flows ⋮ Stochastic Fokker–Planck Equations for Conditional McKean–Vlasov Jump Diffusions and Applications to Optimal Control ⋮ Dynamic Programming Equation for the Mean Field Optimal Stopping Problem
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