18 citations · 63 across the 38 of their papers we have counts for
6 papers · 1 filter
Efficient hedging under ambiguity in continuous time
Ludovic Tangpi
It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed he…
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…
Concentration of dynamic risk measures in a Brownian filtration
Ludovic Tangpi
Motivated by liquidity risk in mathematical finance, D. Lacker introduced concentration inequalities for risk measures, i.e. upper bounds on the \emph{liquidity risk profile} of a…
Theoretical and empirical analysis of trading activity
Mathias Pohl, Alexander Ristig, Walter Schachermayer +1
Understanding the structure of financial markets deals with suitably determining the functional relation between financial variables. In this respect, important variables are the t…