no code implementations • 12 Feb 2024 • Mathieu Laurière, Ludovic Tangpi, Xuchen Zhou
By passing to the limit, a game with a continuum of players is obtained, in which the interactions are through a graphon.
no code implementations • 21 Jul 2023 • Ludovic Tangpi, Shichun Wang
In this paper we further extend the optimal bubble riding model proposed by Tangpi and Wang by allowing for price-dependent entry times.
1 code implementation • 8 Sep 2022 • Ludovic Tangpi, Shichun Wang
In particular, we consider two types of crashes: an endogenous burst which results from excessive selling, and an exogenous burst which cannot be anticipated and is independent from the actions of the traders.
no code implementations • 23 Feb 2022 • Ludovic Tangpi, Xuchen Zhou
This paper studies a stochastic utility maximization game under relative performance concerns in finite agent and infinite agent settings, where a continuum of agents interact through a graphon (see definition below).
no code implementations • 24 Nov 2021 • Jiarui Chu, Ludovic Tangpi
In this paper we will study the approximation of arbitrary law invariant risk measures.
no code implementations • 15 Jan 2021 • Olivier Menoukeu-Pamen, Ludovic Tangpi
To achieve this, we first derive an explicit representation of the first variation process (in Sobolev sense ) of the controlled diffusion.
Optimization and Control
no code implementations • 23 Mar 2020 • Daniel Bartl, Ludovic Tangpi
Let $\rho$ 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.
no code implementations • 8 May 2017 • Daniel Bartl, Michael Kupper, David J. Prömel, Ludovic Tangpi
If the sample space is stable under stopping, the probabilistic problem reduces to finding the supremum over all martingale measures with compact support.
