Itō and Itō-Wentzell chain rule for flows of conditional laws of continuous semimartingales: an easy approach
Abstract
We provide a general Itō-Wentzell formula for a random field of maps on the Wasserstein space of probability measures, defined by continuous semimartingales, and evaluated along the flow of conditional distributions of another continuous semimartingale. Our method follows standard arguments of Itō calculus, and thus bypasses the approximation by empirical measures commonly used in the existing literature. As an application, we derive the dynamic programming equation for a mean field stochastic control problem with common noise.
Fields of Study & Subjects
Stochastic processes and financial applications
Auction Theory and Applications
Economic theories and models
Publication details
- Journal / source
- Stochastics
- Publisher
- Informa UK Limited
- Pages
- 1–25
- Publication date
- 18 August 2026
- Language
- EN