18 citations · 63 across the 38 of their papers we have counts for
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math.PR2018
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…
math.PR2018★ 8 cited
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…
math.PR2018
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…