Ito-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flows
Probability
2022-05-06 v3 Functional Analysis
Abstract
We present several Ito-Wentzell formulae on Wiener spaces for real-valued functional random field of Ito type that depend on measure flows. We distinguish the full- and the marginal-measure flow cases in the spirit of mean-field games. Derivatives with respect to the measure components are understood in the sense of Lions.
Keywords
Cite
@article{arxiv.1910.01892,
title = {Ito-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flows},
author = {Goncalo dos Reis and Vadim Platonov},
journal= {arXiv preprint arXiv:1910.01892},
year = {2022}
}
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31 pages