Ludovic Tangpi

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CAREER: A new form of propagation of chaos and its applications to large population games and risk management
Tangpi, L.
NSF - National Science Foundation
7/1/22 → 6/30/27
Project: Research project
Probabilistic approach to rough PDEs: Applications to finance and control
Tangpi, L.
NSF - National Science Foundation
7/1/20 → 6/30/24
Project: Research project

23 Article

Backward propagation of chaos
Laurière, M. & Tangpi, L., 2022, In: Electronic Journal of Probability. 27, 69.
Research output: Contribution to journal › Article › peer-review

Open Access
1 Scopus citations
CONVERGENCE OF LARGE POPULATION GAMES TO MEAN FIELD GAMES WITH INTERACTION THROUGH THE CONTROLS
Laurière, M. & Tangpi, L., 2022, In: SIAM Journal on Mathematical Analysis. 54, 3, p. 3535-3574 40 p.
Research output: Contribution to journal › Article › peer-review
1 Scopus citations
Stochastic Control of Optimized Certainty Equivalents
Veraguas, J. B., Reppen, A. M. & Tangpi, L., 2022, In: SIAM Journal on Financial Mathematics. 13, 3, p. 745-772 28 p.
Research output: Contribution to journal › Article › peer-review
Strong solutions of forward–backward stochastic differential equations with measurable coefficients
Luo, P., Menoukeu-Pamen, O. & Tangpi, L., Feb 2022, In: Stochastic Processes and their Applications. 144, p. 1-22 22 p.
Research output: Contribution to journal › Article › peer-review
3 Scopus citations
Quadratic transportation inequalities for sdes with measurable drift
BAHLALI, KHALED., MOUCHTABIH, SOUFIANE. & TANGPI, LUDOVIC., 2021, In: Proceedings of the American Mathematical Society. 149, 8, p. 3583-3596 14 p.
Research output: Contribution to journal › Article › peer-review

Open Access
1 Scopus citations

Ludovic Tangpi

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CAREER: A new form of propagation of chaos and its applications to large population games and risk management

Probabilistic approach to rough PDEs: Applications to finance and control

Backward propagation of chaos

CONVERGENCE OF LARGE POPULATION GAMES TO MEAN FIELD GAMES WITH INTERACTION THROUGH THE CONTROLS

Stochastic Control of Optimized Certainty Equivalents

Strong solutions of forward–backward stochastic differential equations with measurable coefficients

Quadratic transportation inequalities for sdes with measurable drift

Ludovic Tangpi

Fingerprint

Network

Projects

CAREER: A new form of propagation of chaos and its applications to large population games and risk management

Probabilistic approach to rough PDEs: Applications to finance and control

Research output

Backward propagation of chaos

CONVERGENCE OF LARGE POPULATION GAMES TO MEAN FIELD GAMES WITH INTERACTION THROUGH THE CONTROLS

Stochastic Control of Optimized Certainty Equivalents

Strong solutions of forward–backward stochastic differential equations with measurable coefficients

Quadratic transportation inequalities for sdes with measurable drift