Itō and Itō-Wentzell chain rule for flows of conditional laws of continuous semimartingales: an easy approach

Abstract

We provide a general Itō-Wentzell formula for a random field of maps on the Wasserstein space of probability measures, defined by continuous semimartingales, and evaluated along the flow of conditional distributions of another continuous semimartingale. Our method follows standard arguments of Itō calculus, and thus bypasses the approximation by empirical measures commonly used in the existing literature. As an application, we derive the dynamic programming equation for a mean field stochastic control problem with common noise.