Itô’s formula for flow of measures on semimartingales

• Speaker: Xiaoli Wei from UC Berkeley

• Time: 11/05/2020, 2:00pm -2:50pm

• Zoom: 992 7853 8762

• Abstract: We state Itô’s formula along a flow of probability measures associated with general semimartingales. This extends recent existing results for flow of measures on Itô processes. Our approach is to first prove Itô’s formula for cylindrical polynomials and then use function approximation for the general case. Some applications to McKean-Vlasov controls of jump-diffusion processes and McKean-Vlasov singular controls are developed. This is a joint work with Xin Guo, Huyên PHAM.

Comments are closed.