9 citations · 22 across the 7 of their papers we have counts for
8 papers
W-BSDEs with Common Noise: Well-posedness, Characterization, and Consequences
Mao Fabrice Djete, Mattia Martini
We study a notion of backward stochastic differential equation on the Wasserstein space, called a W-BSDE. This work extends to the common noise setting recent results of the first…
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…
Mean convergence rates for Gaussian-smoothed Wasserstein distances and classical Wasserstein distances
Andrea Cosso, Mattia Martini, Laura Perelli
We establish upper bounds for the expected -th power of the Gaussian-smoothed -Wasserstein distance between a probability measure and the corresponding empirical measure…
On smooth approximations in the Wasserstein space
Andrea Cosso, Mattia Martini
In this paper we investigate the approximation of continuous functions on the Wasserstein space by smooth functions, with smoothness meant in the sense of Lions differentiability.…
Time-inconsistent mean-field optimal stopping: A limit approach
Boualem Djehiche, Mattia Martini
We provide a characterization of an optimal stopping time for a class of finite horizon time-inconsistent optimal stopping problems (OSPs) of mean-field type, adapted to the Browni…
Kolmogorov equations on the space of probability measures associated to the nonlinear filtering equation: the viscosity approach
Mattia Martini
We study the backward Kolmogorov equation on the space of probability measures associated to the Kushner-Stratonovich equation of nonlinear filtering. We prove existence and unique…
Kolmogorov equations on spaces of measures associated to nonlinear filtering processes
Mattia Martini
We introduce and study some backward Kolmogorov equations associated to stochastic filtering problems. Measure-valued processed arise naturally in the context of stochastic filteri…
Numerical Methods for a System of Coupled Cahn-Hilliard Equations
Mattia Martini, Giacomo Enrico Sodini
In this work, we study a system of coupled Cahn-Hilliard equations describing the phase separation of a copolymer and a homopolymer blend. The numerical methods we propose are base…