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Ludovic Tangpi
Ludovic Tangpi
Princeton University
Підтверджена електронна адреса в princeton.edu - Домашня сторінка
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Посилання
Рік
Duality formulas for robust pricing and hedging in discrete time
P Cheridito, M Kupper, L Tangpi
SIAM Journal on Financial Mathematics 8 (1), 738-765, 2017
762017
Convergence of large population games to mean field games with interaction through the controls
M Laurière, L Tangpi
SIAM Journal on Mathematical Analysis 54 (3), 2022
662022
Computational aspects of robust optimized certainty equivalents and option pricing
D Bartl, S Drapeau, L Tangpi
Mathematical Finance 30 (1), 287-309, 2020
652020
Representation of increasing convex functionals with countably additive measures
P Cheridito, M Kupper, L Tangpi
Studia Mathematica 260 (2), 121-140, 2021
34*2021
Multidimensional Markovian FBSDEs with super-quadratic growth
M Kupper, P Luo, L Tangpi
Stochastic Processes and their Applications 129 (3), 902-923, 2019
34*2019
Dual representation of minimal supersolutions of convex BSDEs
S Drapeau, M Kupper, E Rosazza Gianin, L Tangpi
Annales de l'Institut Henry Poincaré 52 (2), 868-887, 2016
312016
Duality for pathwise superhedging in continuous time
D Bartl, M Kupper, DJ Prömel, L Tangpi
Finance and Stochastics 23 (3), 697-728, 2019
302019
Backward propagation of chaos
M Laurière, L Tangpi
Electronic Journal of Probability, 2022
282022
Non-asymptotic convergence rates for mean-field games: weak formulation and McKean-Vlasov BSDEs
D Possamaï, L Tangpi
arXiv preprint arXiv:2105.00484, 2021
272021
Duality for increasing convex functionals with countably many marginal constraints
D Bartl, P Cheridito, M Kupper, L Tangpi
Banach Journal of Mathematical Analysis 11 (1), 72-89, 2017
262017
The amazing power of dimensional analysis: Quantifying market impact
M Pohl, A Ristig, W Schachermayer, L Tangpi
Market Microstructure and Liquidity 3 (03n04), 185000, 2017
252017
Solvability of coupled FBSDEs with diagonally quadratic generators
P Luo, L Tangpi
Stochastics and Dynamics 17 (6), 1750043, 2017
252017
Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control
J Backhoff-Veraguas, D Lacker, L Tangpi
Annals of Applied Probability 30 (3), 1321-1367, 2020
172020
Quantitative convergence for displacement monotone mean field games with controlled volatility
J Jackson, L Tangpi
Mathematics of Operations Research 49 (4), 2527-2564, 2024
162024
Optimal investment in a large population of competitive and heterogeneous agents
L Tangpi, X Zhou
Finance and Stochastics, 2022
162022
Portfolio optimization under nonlinear utility
G Heyne, M Kupper, L Tangpi
International Journal of Theoretical and Applied Finance 19 (05), 1650029, 2016
162016
BSDEs driven by and applications to PDEs and decision theory
K Bahlali, L Tangpi
arXiv preprint arXiv:1810.05664, 2018
12*2018
On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
JB Veraguas, L Tangpi
Mathematics and Financial Economics, 2020
11*2020
Strong solutions of some one-dimensional SDEs with ran-dom and unbounded drifts
O Menoukeu-Pamen, L Tangpi
SIAM Journal on Mathematical Analysis 51 (5), 4105–4141, 2019
112019
Functional inequalities for forward and backward diffusions
D Bartl, L Tangpi
92020
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