18 citations · 63 across the 38 of their papers we have counts for
5 papers · 1 filter
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…
Non-asymptotic convergence rates for the plug-in estimation of risk measures
Daniel Bartl, Ludovic Tangpi
Let be a general law--invariant convex risk measure, for instance the average value at risk, and let be a financial loss, that is, a real random variable. In practice, eith…
Stochastic control of optimized certainty equivalents
Julio Backhoff Veraguas, A. Max Reppen, Ludovic Tangpi
Optimized certainty equivalents (OCEs) is a family of risk measures widely used by both practitioners and academics. This is mostly due to its tractability and the fact that it enc…
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…