A C1\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$C^1$$\\end{document}-Itô’s Formula for Flows of Semimartingale Distributions

Abstract

We provide an Itô’s formula for C1\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$C^1$$\\end{document}-functionals of flows of conditional marginal distributions of continuous semimartingales. This is based on the notion of weak Dirichlet process, and extends the C1\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$C^1$$\\end{document}-Itô’s formula in Gozzi and Russo (Stoch Process Appl 116(11):1563–1583, 2006) to this context. As the first application, we study a class of McKean–Vlasov optimal control problems, and establish a verification theorem which only requires C1\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$C^1$$\\end{document}-regularity of its value function, which is equivalently the (viscosity) solution of the associated HJB master equation. It goes together with a novel duality result.