A McKean--Vlasov semigroup and its application to a martingale representation problem

Abstract

We introduce a McKean--Vlasov semigroup in the presence of common noise and study its first-order differential structure. Given a terminal functional $G$, the semigroup is defined by propagating the initial law through a reference conditional McKean--Vlasov flow. Using a finite-particle approximation and a diagonal/off-diagonal decomposition of the tangent processes, we identify the Lions derivative of the propagated functional and derive a backward representation along arbitrary admissible conditional law flows. This formula involves only first-order derivatives in the measure variable and yields both a Feynman--Kac representation for linear equations on the Wasserstein space and, in the driftless case, a martingale representation problem whose unique solution is given by the McKean--Vlasov heat semigroup and its Lions derivative. We also discuss mixed finite-dimensional/Wasserstein representations and discrete path-dependent extensions.