Ludovic Tangpi

Publication Activity (10 Years)

Years Active: 2017-2024
Publications (10 Years): 8

Top Topics

Operations Management

Coalitional Games

Stochastic Control

Top Venues

SIAM J. Financial Math.

SIAM J. Math. Anal.

J. Optim. Theory Appl.

Publications

Jiarui Chu, Ludovic Tangpi
Nonasymptotic Estimation of Risk Measures Using Stochastic Gradient Langevin Dynamics. SIAM J. Financial Math. 15 (2) (2024)
Mathieu Laurière, Ludovic Tangpi, Xuchen Zhou
A Deep Learning Method for Optimal Investment Under Relative Performance Criteria Among Heterogeneous Agents. CoRR (2024)
Olivier Menoukeu Pamen, Ludovic Tangpi
Maximum Principle for Stochastic Control of SDEs with Measurable Drifts. J. Optim. Theory Appl. 197 (3) (2023)
Julio D. Backhoff Veraguas, A. Max Reppen, Ludovic Tangpi
Stochastic Control of Optimized Certainty Equivalents. SIAM J. Financial Math. 13 (3) (2022)
Mathieu Laurière, Ludovic Tangpi
Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls. SIAM J. Math. Anal. 54 (3) (2022)
Mathias Pohl, Alexander Ristig, Walter Schachermayer, Ludovic Tangpi
Theoretical and empirical analysis of trading activity. Math. Program. 181 (2) (2020)
Olivier Menoukeu Pamen, Ludovic Tangpi
Strong Solutions of Some One-dimensional SDEs with Random and Unbounded Drifts. SIAM J. Math. Anal. 51 (5) (2019)
Patrick Cheridito, Michael Kupper, Ludovic Tangpi
Duality Formulas for Robust Pricing and Hedging in Discrete Time. SIAM J. Financial Math. 8 (1) (2017)