|It^o's formula for flows of conditional measures on semimartingales (Revised)
|2:30 pm - 3:30 pm
|SWH1-Fung King Hey Building Swire Hall 1, CUHK
|DR. Jiacheng Zhang
We establish It^o's formula along flows of conditional probability measures given a common filtration associated with general semimartingales; this generalizes existing results for flows of conditional measures on It^o's processes and flows of deterministic measure on general semimartingales. Our approach is to first establish It^o's formula for cylindrical functions by introducing conditional independent copies and then extend it to the general case via function approximation.