Conditional distributions, exchangeable particle systems, and stochastic partial differential equations (Q405502)

The authors study stochastic partial differential equations whose solutions are probability-measure-valued processes. Measure-valued processes of this type arise naturally as de Finetti measures of infinite exchangeable systems of particles and as the solutions for filtering problems. In the present paper, the authors consider a financial model of asset pricing with an infinite collection of competing traders. Each trader's valuation of the assets is modeled by an SDE, and the infinite system of exchangeable SDEs is coupled through a common noise process and through the asset prices. The solution of the system can be interpreted as the conditional distribution of the solution of a single SDE given the common noise and the price process. Under certain assumptions, this conditional distribution is proved to be absolutely continuous with respect to Lebesgue measure with a strictly positive density.