18 citations · 63 across the 38 of their papers we have counts for
4 papers · 1 filter
Non-asymptotic estimation of risk measures using stochastic gradient Langevin dynamics
Jiarui Chu, Ludovic Tangpi
In this paper we will study the approximation of arbitrary law invariant risk measures. As a starting point, we approximate the average value at risk using stochastic gradient Lang…
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…
Maximum principle for stochastic control of SDEs with measurable drifts
Olivier Menoukeu-Pamen, Ludovic Tangpi
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficie…