18 citations · 63 across the 38 of their papers we have counts for
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q-fin.MF2022★ 1 cited
Optimal Bubble Riding: A Mean Field Game with Varying Entry Times
Ludovic Tangpi, Shichun Wang
Recent financial bubbles such as the emergence of cryptocurrencies and "meme stocks" have gained increasing attention from both retail and institutional investors. In this paper, w…
math.PR2022
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…
q-fin.MF2022
Optimal Investment in a Large Population of Competitive and Heterogeneous Agents
Ludovic Tangpi, Xuchen Zhou
This paper studies a stochastic utility maximization game under relative performance concerns in finite agent and infinite agent settings, where a continuum of agents interact thro…