3 papers
math.OC2024
A Probabilistic Approach to Discounted Infinite Horizon and Invariant Mean Field Games
René Carmona, Ludovic Tangpi, Kaiwen Zhang
This paper considers discounted infinite horizon mean field games by extending the probabilistic weak formulation of the game as introduced by Carmona and Lacker (2015). Under simi…
math.OC2024
A Deep Learning Method for Optimal Investment Under Relative Performance Criteria Among Heterogeneous Agents
Mathieu Laurière, Ludovic Tangpi, Xuchen Zhou
Graphon games have been introduced to study games with many players who interact through a weighted graph of interaction. By passing to the limit, a game with a continuum of player…
math.PR2023
On the population size in stochastic differential games
Dylan Possamaï, Ludovic Tangpi
Commuters looking for the shortest path to their destinations, the security of networked computers, hedge funds trading on the same stocks, governments and populations acting to mi…