18 citations · 63 across the 38 of their papers we have counts for
4 papers · 2 filters
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…