18 citations · 63 across the 38 of their papers we have counts for
24 papers · 1 filter
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…
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…
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…
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…
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…
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…
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…
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…
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…
BSDEs driven by and applications to PDEs and decision theory
Khaled Bahlali, Ludovic Tangpi
Existence and uniqueness is established for a large class of backward stochastic differential equations which contain singular terms of the form . The results are appli…
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…
Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients
Olivier Menoukeu-Pamen, Youssef Ouknine, Ludovic Tangpi
In this paper we review and improve pathwise uniqueness results for some types of one-dimensional stochastic differential equations (SDE) involving the local time of the unknown pr…
BSDEs on finite and infinite horizon with time-delayed generators
Peng Luo, Ludovic Tangpi
We consider a backward stochastic differential equation with a generator that can be subjected to delay, in the sense that its current value depends on the weighted past values of…
Multidimensional Markov FBSDEs with superquadratic growth
Michael Kupper, Peng Luo, Ludovic Tangpi
We give local and global existence and uniqueness results for systems of coupled FBSDEs in the multidimensional setting and with generators allowed to grow arbitrarily fast in the…
Minimal Supersolutions of Convex BSDEs under Constraints
Gregor Heyne, Michael Kupper, Christoph Mainberger +1
We study supersolutions of a backward stochastic differential equation, the control processes of which are constrained to be continuous semimartingales of the form …
Dual Representation of Minimal Supersolutions of Convex BSDEs
Samuel Drapeau, Michael Kupper, Emanuela Rosazza Gianin +1
We give a dual representation of minimal supersolutions of BSDEs with non-bounded, but integrable terminal conditions and under weak requirements on the generator which is allowed…