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math.PR2026
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…
math.PR2026
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…