5 citations · 5 across the 4 of their papers we have counts for
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math.OC2024
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…
math.OC2021
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…
math.OC2015
Portfolio Optimization under Nonlinear Utility
Gregor Heyne, Michael Kupper, Ludovic Tangpi
This paper studies the utility maximization problem of an agent with non-trivial endowment, and whose preferences are modeled by the maximal subsolution of a BSDE. We prove existen…