5 citations · 5 across the 4 of their papers we have counts for
6 papers · 1 filter
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…
Non-exponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and Control
Julio Backhoff-Veraguas, Daniel Lacker, Ludovic Tangpi
We derive new limit theorems for Brownian motion, which can be seen as non-exponential analogues of the large deviation theorems of Sanov and Schilder in their Laplace principle fo…
Strong solutions of some one-dimensional SDEs with random and unbounded drifts
Olivier Menoukeu-Pamen, Ludovic Tangpi
In this paper, we are interested in the following one dimensional forward stochastic differential equation (SDE) \[ d X_{t}=b(t,X_{t},ω)d t +σd B_{t},\quad 0\leq t\leq T,\quad X_{0…