Ludovic Tangpi

12 papers Journal 12
YearRankTypeTitle / Venue / Authors
2025 J jnl
A deep learning method for optimal investment under relative performance criteria among heterogeneous agents.
Eur. J. Oper. Res.
Mathieu Laurière, Ludovic Tangpi, Xuchen Zhou
2025 J jnl
Propagation of Chaos for Mean Field Schrödinger Problems.
SIAM J. Control. Optim.
Camilo Hernández, Ludovic Tangpi
2024 J jnl
A Deep Learning Method for Optimal Investment Under Relative Performance Criteria Among Heterogeneous Agents.
CoRR
Mathieu Laurière, Ludovic Tangpi, Xuchen Zhou
2024 J jnl
Nonasymptotic Estimation of Risk Measures Using Stochastic Gradient Langevin Dynamics.
SIAM J. Financial Math.
Jiarui Chu, Ludovic Tangpi
2024 J jnl
Quantitative Convergence for Displacement Monotone Mean Field Games with Controlled Volatility.
Math. Oper. Res.
Joe Jackson, Ludovic Tangpi
2023 J jnl
Maximum Principle for Stochastic Control of SDEs with Measurable Drifts.
J. Optim. Theory Appl.
Olivier Menoukeu Pamen, Ludovic Tangpi
2023 J jnl
Nonasymptotic Convergence Rates for the Plug-in Estimation of Risk Measures.
Math. Oper. Res.
Daniel Bartl, Ludovic Tangpi
2022 J jnl
Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls.
SIAM J. Math. Anal.
Mathieu Laurière, Ludovic Tangpi
2022 J jnl
Stochastic Control of Optimized Certainty Equivalents.
SIAM J. Financial Math.
Julio D. Backhoff Veraguas, A. Max Reppen, Ludovic Tangpi
2020 J jnl
Theoretical and empirical analysis of trading activity.
Math. Program.
Mathias Pohl, Alexander Ristig, Walter Schachermayer, Ludovic Tangpi
2019 J jnl
Strong Solutions of Some One-dimensional SDEs with Random and Unbounded Drifts.
SIAM J. Math. Anal.
Olivier Menoukeu Pamen, Ludovic Tangpi
2017 J jnl
Duality Formulas for Robust Pricing and Hedging in Discrete Time.
SIAM J. Financial Math.
Patrick Cheridito, Michael Kupper, Ludovic Tangpi