It\^o's formula for flows of measures on semimartingales

Xin Guo; Huyên Pham; Xiaoli Wei

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arXiv · 2010.05288

It\^o's formula for flows of measures on semimartingales

Xin Guo·Huyên Pham·Xiaoli Wei

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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.

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Xin Guo, Huyên Pham, Xiaoli Wei. 2020-10-11. It\^o's formula for flows of measures on semimartingales. https://arxiv.org/abs/2010.05288

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