It{\^o}-Krylov's formula for a flow of measures
Probability
2022-11-09 v2
Abstract
We prove It{\^o}'s formula for the flow of measures associated with an It{\^o} 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 It{\^o}-Krylov formula for functions in a Sobolev space on .
Keywords
Cite
@article{arxiv.2110.05251,
title = {It{\^o}-Krylov's formula for a flow of measures},
author = {Thomas Cavallazzi},
journal= {arXiv preprint arXiv:2110.05251},
year = {2022}
}