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arXiv · 1910.01892

Ito-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flows

Goncalo dos Reis·Vadim Platonov
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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.

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Goncalo dos Reis, Vadim Platonov. 2019-10-04. Ito-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flows. https://arxiv.org/abs/1910.01892

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