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2020 – today
- 2024
[j7]Jiarui Chu, Ludovic Tangpi:
Nonasymptotic Estimation of Risk Measures Using Stochastic Gradient Langevin Dynamics. SIAM J. Financial Math. 15(2): 503-536 (2024)- [i1]Mathieu Laurière, Ludovic Tangpi, Xuchen Zhou:
A Deep Learning Method for Optimal Investment Under Relative Performance Criteria Among Heterogeneous Agents. CoRR abs/2402.07365 (2024) - 2023
- [j6]Olivier Menoukeu Pamen
, Ludovic Tangpi:
Maximum Principle for Stochastic Control of SDEs with Measurable Drifts. J. Optim. Theory Appl. 197(3): 1195-1228 (2023) - 2022
- [j5]Julio D. Backhoff Veraguas, A. Max Reppen, Ludovic Tangpi:
Stochastic Control of Optimized Certainty Equivalents. SIAM J. Financial Math. 13(3): 745-772 (2022) - [j4]Mathieu Laurière, Ludovic Tangpi:
Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls. SIAM J. Math. Anal. 54(3): 3535-3574 (2022) - 2020
- [j3]Mathias Pohl, Alexander Ristig, Walter Schachermayer, Ludovic Tangpi:
Theoretical and empirical analysis of trading activity. Math. Program. 181(2): 405-434 (2020)
2010 – 2019
- 2019
- [j2]Olivier Menoukeu Pamen, Ludovic Tangpi:
Strong Solutions of Some One-dimensional SDEs with Random and Unbounded Drifts. SIAM J. Math. Anal. 51(5): 4105-4141 (2019) - 2017
- [j1]Patrick Cheridito, Michael Kupper, Ludovic Tangpi:
Duality Formulas for Robust Pricing and Hedging in Discrete Time. SIAM J. Financial Math. 8(1): 738-765 (2017)
Coauthor Index
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