4 citations · 4 across the 7 of their papers we have counts for
4 papers · 1 filter
A McKean--Vlasov semigroup and its application to a martingale representation problem
Mao Fabrice Djete, Mattia Martini
We introduce a McKean--Vlasov semigroup in the presence of common noise and study its first-order differential structure. Given a terminal functional , the semigroup is defined…
A notion of BSDE on the Wasserstein space and its applications to control problems and PDEs
Mao Fabrice Djete
We introduce a class of backward stochastic differential equations (BSDEs) on the Wasserstein space of probability measures. This formulation extends the classical correspondence b…
Mean Field Game of Mutual Holding with common noise
Leila Bassou, Mao Fabrice Djete, Nizar Touzi
We consider the mean field game of cross--holding introduced in \citeauthor*{DjeteTouzi} \cite{DjeteTouzi} in the context where the equity value dynamics are affected by a common n…
Mean field game of mutual holding with defaultable agents, and systemic risk
Mao Fabrice Djete, Gaoyue Guo, Nizar Touzi
We introduce the possibility of default in the mean field game of mutual holding of Djete and Touzi [11]. This is modeled by introducing absorption at the origin of the equity proc…