It{ô}-Krylov's formula for a flow of measures (2110.05251v2)

Published 11 Oct 2021 in math.PR

Abstract: We prove It{^o}'s formula for the flow of measures associated with an It{^o} process having a bounded drift and a uniformly elliptic and bounded diffusion matrix, and for functions in an appropriate Sobolev-type space. This formula is the almost analogue, in the measure-dependent case, of the It{^o}-Krylov formula for functions in a Sobolev space on $\mathbf{R}⁺ \times \mathbf{R}^d $.

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Authors (1)

Thomas Cavallazzi

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