18 citations · 63 across the 38 of their papers we have counts for
47 papers
Optimal transportation under McKean-Vlasov dynamics
Camilo Hernández, Ludovic Tangpi
We study a broad class of stochastic transport problems under controlled McKean-Vlasov dynamics, allowing control of both drift and volatility, with weak terminal constraints. In c…
Marginal flows of non-entropic weak Schrödinger bridges
Camilo Hernández, Ludovic Tangpi
This paper introduces a dynamic formulation of divergence-regularized optimal transport with weak targets on the path space. In our formulation, the classical relative entropy pena…
Conditional McKean-Vlasov control
René Carmona, Ludovic Tangpi, Kaiwen Zhang
Conditional McKean-Vlasov control problems involve controlling McKean-Vlasov diffusions where the interaction occurs through the law of the state process conditionally on it stayin…
Particle system approximation of Nash equilibria in large games
Ludovic Tangpi, Nizar Touzi
We develop a probabilistic framework to approximate Nash equilibria in symmetric -player games in the large population regime, via the analysis of associated mean field games (M…
Pasting of Equilibria and Donsker-type Results for Mean Field Games
Jodi Dianetti, Max Nendel, Ludovic Tangpi +1
This paper studies the relation between equilibria in single-period, discrete-time and continuous-time mean field game models. First, for single-period mean field games, we establi…
Interacting particle systems on sparse -random graphs
Carla Crucianelli, Ludovic Tangpi
We consider a general interacting particle system with interactions on a random graph, and study the large population limit of this system. When the sequence of underlying graphs c…
A policy iteration algorithm for non-Markovian control problems
Dylan Possamaï, Ludovic Tangpi
In this paper, we propose a new policy iteration algorithm to compute the value function and the optimal controls of continuous time stochastic control problems. The algorithm reli…
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…
Mean field games with common noise via Malliavin calculus
Ludovic Tangpi, Shichun Wang
We present a simpler proof of the existence of equilibria for a class of mean field games with common noise, where players interact through the conditional law given the current va…
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…
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…
Optimal Bubble Riding with Price-dependent Entry: a Mean Field Game of Controls with Common Noise
Ludovic Tangpi, Shichun Wang
In this paper we further extend the optimal bubble riding model proposed by Tangpi and Wang by allowing for price-dependent entry times. Agents are characterized by their individua…
Propagation of chaos for mean field Schrödinger problems
Camilo Hernández, Ludovic Tangpi
In this work, we study the mean field Schrödinger problem from a purely probabilistic point of view by exploiting its connection to stochastic control theory for McKean-Vlasov diff…
Quantitative convergence for displacement monotone mean field games with controlled volatility
Joe Jackson, Ludovic Tangpi
We study the convergence problem for mean field games with common noise and controlled volatility. We adopt the strategy recently put forth by Laurière and the second author, using…
Optimal Bubble Riding: A Mean Field Game with Varying Entry Times
Ludovic Tangpi, Shichun Wang
Recent financial bubbles such as the emergence of cryptocurrencies and "meme stocks" have gained increasing attention from both retail and institutional investors. In this paper, w…
A probabilistic approach to vanishing viscosity for PDEs on the Wasserstein space
Ludovic Tangpi
In this work we prove an analogue, for partial differential equations on the space of probability measures, of the classical vanishing viscosity result known for equations on the E…
Optimal Investment in a Large Population of Competitive and Heterogeneous Agents
Ludovic Tangpi, Xuchen Zhou
This paper studies a stochastic utility maximization game under relative performance concerns in finite agent and infinite agent settings, where a continuum of agents interact thro…
Non-asymptotic estimation of risk measures using stochastic gradient Langevin dynamics
Jiarui Chu, Ludovic Tangpi
In this paper we will study the approximation of arbitrary law invariant risk measures. As a starting point, we approximate the average value at risk using stochastic gradient Lang…
Non-asymptotic convergence rates for mean-field games: weak formulation and McKean-Vlasov BSDEs
Dylan Possamaï, Ludovic Tangpi
This work is mainly concerned with the so-called limit theory for mean-field games. Adopting the weak formulation paradigm put forward by Carmona and Lacker, we consider a fully no…
Laplace principle for large population games with control interaction
Peng Luo, Ludovic Tangpi
This work investigates continuous time stochastic differential games with a large number of players, whose costs and dynamics interact through the empirical distribution of both th…
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…
Convergence of large population games to mean field games with interaction through the controls
Mathieu Laurière, Ludovic Tangpi
This work considers stochastic differential games with a large number of players, whose costs and dynamics interact through the empirical distribution of both their states and thei…
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…
Non-asymptotic convergence rates for the plug-in estimation of risk measures
Daniel Bartl, Ludovic Tangpi
Let be a general law--invariant convex risk measure, for instance the average value at risk, and let be a financial loss, that is, a real random variable. In practice, eith…