Zobrazeno 1 - 10
of 142
pro vyhledávání: '"Tangpi, Ludovic"'
Autor:
Crucianelli, Carla, Tangpi, Ludovic
We consider a general interacting particle system with interactions on a random graph, and study the large population limit of this system. When the sequence of underlying graphs converges to a graphon, we show convergence of the interacting particle
Externí odkaz:
http://arxiv.org/abs/2410.11240
Autor:
Possamaï, Dylan, Tangpi, Ludovic
In this paper, we propose a new policy iteration algorithm to compute the value function and the optimal controls of continuous time stochastic control problems. The algorithm relies on successive approximations using linear-quadratic control problem
Externí odkaz:
http://arxiv.org/abs/2409.04037
This paper considers discounted infinite horizon mean field games by extending the probabilistic weak formulation of the game as introduced by Carmona and Lacker (2015). Under similar assumptions as in the finite horizon game, we prove existence and
Externí odkaz:
http://arxiv.org/abs/2407.03642
Autor:
Tangpi, Ludovic, Wang, Shichun
In this work, we present an alternative proof to the existence of equilibria for mean field games with common noise. By adapting a compactness criterion for Malliavin differentiable random variables to random processes, we obtain strong equilibria, i
Externí odkaz:
http://arxiv.org/abs/2405.02244
Graphon games have been introduced to study games with many players who interact through a weighted graph of interaction. By passing to the limit, a game with a continuum of players is obtained, in which the interactions are through a graphon. In thi
Externí odkaz:
http://arxiv.org/abs/2402.07365
Autor:
Possamaï, Dylan, Tangpi, Ludovic
Commuters looking for the shortest path to their destinations, the security of networked computers, hedge funds trading on the same stocks, governments and populations acting to mitigate an epidemic, or employers and employees agreeing on a contact,
Externí odkaz:
http://arxiv.org/abs/2310.09919
Autor:
Tangpi, Ludovic, Wang, Shichun
In this paper we further extend the optimal bubble riding model proposed by Tangpi and Wang by allowing for price-dependent entry times. Agents are characterized by their individual entry threshold that represents their belief in the strength of the
Externí odkaz:
http://arxiv.org/abs/2307.11340
Autor:
Hernández, Camilo, Tangpi, Ludovic
In this work, we study the mean field Schr\"odinger problem from a purely probabilistic point of view by exploiting its connection to stochastic control theory for McKean-Vlasov diffusions. Our main result shows that the mean field Schr\"odinger prob
Externí odkaz:
http://arxiv.org/abs/2304.09340
Autor:
Jackson, Joe, Tangpi, Ludovic
We study the convergence problem for mean field games with common noise and controlled volatility. We adopt the strategy recently put forth by Lauri\`ere and the second author, using the maximum principle to recast the convergence problem as a questi
Externí odkaz:
http://arxiv.org/abs/2304.04543
Autor:
Tangpi, Ludovic, Wang, Shichun
Recent financial bubbles such as the emergence of cryptocurrencies and "meme stocks" have gained increasing attention from both retail and institutional investors. In this paper, we propose a game-theoretic model on optimal liquidation in the presenc
Externí odkaz:
http://arxiv.org/abs/2209.04001