Zobrazeno 1 - 10
of 26
pro vyhledávání: '"Ludovic Tangpi"'
Autor:
Olivier Menoukeu-Pamen, Ludovic Tangpi
Publikováno v:
Journal of Optimization Theory and Applications. 197:1195-1228
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first derive an e
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3e433fc93aa39eae44590be2a4181b1d
https://doi.org/10.1007/s10957-023-02209-0
https://doi.org/10.1007/s10957-023-02209-0
Publikováno v:
Stochastic Processes and their Applications. 144:1-22
This paper investigates solvability of fully coupled systems of forward–backward stochastic differential equations (FBSDEs) with irregular coefficients. In particular, we assume that the coefficients of the FBSDEs are merely measurable and bounded
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::00112e7a97d0ca765cfa0e5a14bec994
https://doi.org/10.1016/j.spa.2021.10.012
https://doi.org/10.1016/j.spa.2021.10.012
Autor:
Daniel Bartl, Ludovic Tangpi
Publikováno v:
Mathematics of Operations Research.
Let ρ be a general law-invariant convex risk measure, for instance, the average value at risk, and let X be a financial loss, that is, a real random variable. In practice, either the true distribution μ of X is unknown, or the numerical computation
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0801a39887c6c2f677e93987b51c9aac
https://doi.org/10.1287/moor.2022.1333
https://doi.org/10.1287/moor.2022.1333
Publikováno v:
Proceedings of the American Mathematical Society. 149:3583-3596
Let X X be the solution of a stochastic differential equation in Euclidean space driven by standard Brownian motion, with measurable drift and Sobolev diffusion coefficient. In our main result we show that when the drift is measurable and the diffusi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::979d760502bdfef54f011612914ea28c
https://doi.org/10.1090/proc/15477
https://doi.org/10.1090/proc/15477
Publikováno v:
Studia Mathematica. 260:121-140
We derive two types of representation results for increasing convex functionals in terms of countably additive measures. The first is a max-representation of functionals defined on spaces of real-valued continuous functions and the second a sup-repre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0750ccb6d5b8a4d87e28ea5e3e6eb9cd
https://doi.org/10.4064/sm181107-16-2
https://doi.org/10.4064/sm181107-16-2
Autor:
Mathieu Laurière, Ludovic Tangpi
Publikováno v:
Electronic Journal of Probability. 27
This paper develops a theory of propagation of chaos for a system of weakly interacting particles whose terminal configuration is fixed as opposed to the initial configuration as customary. Such systems are modeled by backward stochastic differential
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d09b1ed948beb38c74ab83cf61651e2c
https://doi.org/10.1214/22-ejp777
https://doi.org/10.1214/22-ejp777
Autor:
Ludovic Tangpi
Publikováno v:
Stochastic Processes and their Applications. 129:1477-1491
Motivated by liquidity risk in mathematical finance, Lacker (2015) introduced concentration inequalities for risk measures, i.e. upper bounds on the liquidity risk profile of a financial loss. We derive these inequalities in the case of time-consiste
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f5dc8b043acb8376a6bc1e6c958f2869
https://doi.org/10.1016/j.spa.2018.05.008
https://doi.org/10.1016/j.spa.2018.05.008
Publikováno v:
Ann. Appl. Probab. 30, no. 3 (2020), 1321-1367
We derive new limit theorems for Brownian motion, which can be seen as nonexponential analogues of the large deviation theorems of Sanov and Schilder in their Laplace principle forms. As a first application, we obtain novel scaling limits of backward
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1a5ae71080303c79e9f9752a837c22c6
https://projecteuclid.org/euclid.aoap/1596009624
https://projecteuclid.org/euclid.aoap/1596009624
Autor:
Mathieu Laurière, Ludovic Tangpi
This work considers stochastic differential games with a large number of players, whose costs and dynamics interact through the empirical distribution of both their states and their controls. We develop a new framework to prove convergence of finite-
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a245271b881eb691017df54e4b197f8a
http://arxiv.org/abs/2004.08351
http://arxiv.org/abs/2004.08351
Autor:
Daniel Bartl, Ludovic Tangpi
Publikováno v:
Electron. J. Probab.
In this article we derive Talagrand’s $T_{2}$ inequality on the path space w.r.t. the maximum norm for various stochastic processes, including solutions of one-dimensional stochastic differential equations with measurable drifts, backward stochasti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7fd7bf2cbf4e605ff5c760ab5442c3ad
https://projecteuclid.org/euclid.ejp/1597111409
https://projecteuclid.org/euclid.ejp/1597111409