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

Goncalo dos Reis, Vadim Platonov

Research output: Contribution to journalArticlepeer-review

Abstract

We present several It\^o-Wentzell formulae on Wiener spaces for real-valued functional random field of It\^o type depending on measures. We distinguish the full- and the marginal-measure flow cases. Derivatives with respect to the measure components are understood in the sense of Lions.
Original languageEnglish
Number of pages31
JournalPotential analysis
Publication statusAccepted/In press - 11 May 2022

Keywords

  • math.PR
  • math.FA
  • 60H05 (Primary), 60H10, 60H15 (Secondary)

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