5 citations · 5 across the 3 of their papers we have counts for
11 papers
Maximum principle for stochastic control of SDEs with measurable drifts
Olivier Menoukeu-Pamen, Ludovic Tangpi
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficie…
Quadratic transportation inequalities for SDEs with measurable drift
Khaled Bahlali, Soufiane Mouchtabih, Ludovic Tangpi
Let X be the solution of the multidimensional stochastic differential equationdX(t) = b(t, X(t)) dt + sigma(t, X(t)) dW(t)\, with X(0)=x where W is a standard Brownian motion. We s…
Strong solutions of forward-backward stochastic differential equations with measurable coefficients
Peng Luo, Olivier Menoukeu-Pamen, Ludovic Tangpi
This paper investigates solvability of fully coupled systems of forward-backward stochastic differential equations (FBSDEs) with irregular coefficients. In particular, we assume th…
Backward propagation of chaos
Mathieu Laurière, Ludovic Tangpi
This paper develops a theory of propagation of chaos for a system of weakly interacting particles whose terminal configuration is fixed as opposed to the initial configuration as c…
Functional inequalities for forward and backward diffusions
Daniel Bartl, Ludovic Tangpi
In this article we derive Talagrand's inequality on the path space w.r.t. the maximum norm for various stochastic processes, including solutions of one-dimensional stochastic…
Efficient hedging under ambiguity in continuous time
Ludovic Tangpi
It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed he…