Skip to main content

Mathematical Sciences-Financial Mathematics Seminar-Xiaoli Wei (UC Berkeley) "Itô’s formula for flow of measures on semimartingales"

Thursday, November 05, 2020
2:00 pm to 2:50 pm
Floor/Room #: 
via Zoom

Speaker: Xiaoli Wei (UC Berkeley)
Title: "Itô’s formula for flow of measures on semimartingales"
Abstract: We state Itô’s formula along a flow of probability measures associated with general semimartingales. This extends recent existing results for flow of measures on Itô processes. Our approach is to first prove Itô’s formula for cylindrical polynomials and then use function approximation for the general case. Some applications to McKeanVlasov controls of jump-diffusion processes and McKean-Vlasov singular controls are developed. This is a joint work with Xin Guo,  Huyên PHAM

The seminar will be held via Zoom, please contact qsong@wpi.edu for Zoom meeting details.