Ito type Chain rule for measure dependent random fields under full and conditional measure flows

Abstract:

We present several Itô-Wentzell formulae on Wiener spaces for real-valued functionals random field of Itô type depending on measures. We distinguish the full- and marginal-measure flow cases. Derivatives with respect to the measure components are understood in the sense of Lions.

This talk is based on joint work with V. Platonov (U. of Edinburgh), see https://arxiv.org/abs/1910.01892 .