A C^1-Itô's formula for flows of semimartingale distributions

DOI10.1007/S00245-024-10165-YMaRDI QIDQ6589702zbMATHFDO

Authors Bruno Bouchard, Xiaolu Tan, Ji-Xin Wang

Publication date 20 August 2024

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

McKean-Vlasov optimal controlItô's formula on Wasserstein spaceweak Dirichlet process

Mathematics Subject Classification ID

Regularity of solutions in optimal control (49N60) Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21) Stochastic integrals (60H05) Foundations of stochastic processes (60G05)

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Cites work

• A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance
• Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
• Forward, backward and symmetric stochastic integration
• Ito formula for \(C^ 1\)-functions of semimartingales
• Itô's formula for flows of measures on semimartingales
• McKean-Vlasov optimal control: the dynamic programming principle
• McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations
• Mean field games master equations with nonseparable Hamiltonians and displacement monotonicity
• Mean-field stochastic differential equations and associated PDEs
• Optimal control versus stochastic target problems: an equivalence result
• Optimal transportation under controlled stochastic dynamics
• Probabilistic theory of mean field games with applications II. Mean field games with common noise and master equations
• The Master Equation and the Convergence Problem in Mean Field Games
• The generalized covariation process and Itô formula
• The master equation for large population equilibriums
• Weak Dirichlet processes with a stochastic control perspective

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