It\^o's formula for flows of measures on semimartingales
Abstract
We establish It\^o's formula along flows of probability measures associated with general semimartingales; this generalizes existing results for flows of measures on It\^o processes. Our approach is to first establish It\^o's formula for cylindrical functions and then extend it to the general case via function approximation and localization techniques. This general form of It\^o's formula enables the derivation of dynamic programming equations and verification theorems for McKean--Vlasov controls with jump diffusions and for McKean--Vlasov mixed regular-singular control problems. It also allows for generalizing the classical relationship between the maximum principle and the dynamic programming principle to the McKean--Vlasov singular control setting, where the adjoint process is expressed in terms of the derivative of the value function with respect to the probability measures.
Keywords
Cite
@article{arxiv.2010.05288,
title = {It\^o's formula for flows of measures on semimartingales},
author = {Xin Guo and Huyên Pham and Xiaoli Wei},
journal= {arXiv preprint arXiv:2010.05288},
year = {2022}
}