18 citations · 63 across the 38 of their papers we have counts for
9 papers · 1 filter
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…
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…
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…
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…
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…
Stochastic control of optimized certainty equivalents
Julio Backhoff Veraguas, A. Max Reppen, Ludovic Tangpi
Optimized certainty equivalents (OCEs) is a family of risk measures widely used by both practitioners and academics. This is mostly due to its tractability and the fact that it enc…
On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
Julio Backhoff Veraguas, Ludovic Tangpi
It is well-known from the work of Kupper and Schachermayer that most law-invariant risk measures do not admit a time-consistent representation. In this work we show that in a Brown…
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…