相关论文: A $C^1$-It\^o's formula for flows of semimartingal…

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…

This paper proves an extension of the It\^o-Ventzell formula that applies to stochastic flows in $C^{0,1}$ for continuous weak Dirichlet processes. We apply this theorem, for example, to give a representation result for strong solutions of…

The main objective consists in generalizing a well-known It{\^o} formula of J. Jacod and A. Shiryaev: given a c{\`a}dl{\`a}g process S, there is an equivalence between the fact that S is a semimartingale with given characteristics (B^k , C,…

The present paper is an extension of Fadle-Touzi (2024). Following the same methodology, merely based on Taylor expansions, we establish the It\^o and It\^o-Wentzell formulae for flows of conditional distributions of general…

We derive an It\^o-type formula for a measure-valued process that has a decomposition analogous to a classical semimartingale. The derivation begins with a time partitioning approach similar to the classical proof of It\^o's formula. To…

Motivated by recent development of mean-field systems with common noise, this paper establishes Ito's formula for flows of conditional probability measures under a common filtration associated with general semimartingales. This generalizes…

The motivation of this paper is to prove verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term, in the case that the value function is assumed to be continuous…

Using Dupire's notion of vertical derivative, we provide a functional (path-dependent) extension of the It\^o's formula of Gozzi and Russo (2006) that applies to C^{0,1}-functions of continuous weak Dirichlet processes. It is motivated and…

In this paper, we establish the It\^o-Wentzell-Lions formulae for flows of both full and conditional measures on general semimartingales. This generalizes the existing works on flows of measures on It\^o processes. The key technical…

We exhibit conditions under which the flow of marginal distributions of a discontinuous semimartingale $\xi$ can be matched by a Markov process, whose infinitesimal generator is expressed in terms of the local characteristics of $\xi$. Our…

In this paper we discuss existence and uniqueness for a one-dimensional time inhomogeneous stochastic differential equation directed by an $\mathbb{F}$-semimartingale $M$ and a finite cubic variation process $\xi$ which has the structure…

We provide a general It\=o\,-Wentzell formula for a random field of maps on the Wasserstein space of probability measures, defined by continuous semimartingales, and evaluated along the flow of conditional distributions of another…

We extend to c{\`a}dl{\`a}g weak Dirichlet processes the C^{0,1}-functional It{\^o}-Dupire's formula of Bouchard, Loeper and Tan (2021). In particular, we provide sufficient conditions under which a C^{0,1}-functional transformation of a…

We prove It{\^o}'s formula for the flow of measures associated with a jump process defined by a drift, an integral with respect to a Poisson random measure and with respect to the associated compensated Poisson random measure. We work in…

We study in this paper the weak propagation of chaos for McKean--Vlasov diffusions with branching, whose induced marginal measures are nonnegative finite measures but not necessary probability measures. The flow of marginal measures…

Extending It\^o's formula to non-smooth functions is important both in theory and applications. One of the fairly general extensions of the formula, known as Meyer-It\^o, applies to one dimensional semimartingales and convex functions.…

We extend the It\=o formula \cite{MR1837298}*{Theorem 2.3} for semimartingales with rcll paths. We also comment on Local time process of such semimartingales. We apply the It\=o formula to L\'evy processes to obtain existence of solutions…

We derive limit theorems for the empirical distribution function of "devolatilized" increments of an It\^{o} semimartingale observed at high frequencies. These "devolatilized" increments are formed by suitably rescaling and truncating the…

Based on an extension of the martingale comparison method some comparison results for path-dependent functions of semimartingales are established. The proof makes essential use of the functional It\^o calculus. A main tool is an extension…

Using the theory of stochastic integration developed recently by the authors, in this paper we prove an It\^{o} formula for Hilbert space-valued It\^{o} processes defined with respect to a cylindrical-martingale valued measure. As part of…