Itô-Krylov's formula for a flow of measures
Abstract
We prove Itô's formula for the flow of measures associated with an Itô process having a bounded drift and a uniformly elliptic and bounded diffusion matrix, and for functions in an appropriate Sobolev-type space. This formula is the almost analogue, in the measure-dependent case, of the Itô-Krylov formula for functions in a Sobolev space on $\mathbf{R}^+ \times \mathbf{R}^d $.
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