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Register a new userIt^os formula for flow of measures on semimartingales
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Xin Guo
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This paper establishes It^os formula along a flow of probability measures associated with gene-ral semimartingales. This generalizes existing results for flow of measures on It^o processes. Our approach is to first prove It^os formula for cylindrical polynomials and then use function approximation and localization techniques for the general case. This general form of It^os formula enables derivation of dynamic programming equations and verification theorems for McKean-Vlasov controls with jump diffusions and for McKean-Vlasov mixed regular-singular control problems. It also allows for generalizing the classical relation between the maximum principle and the dynamic programming principle to the McKean-Vlasov singular control setting, where the adjoint process is expressed in term of the derivative of the value function with respect to probability measures.
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