Ludovic Tangpi

Princeton University — United States

Economics, Econometrics and Finance · Social Sciences

10h-index351citations82works1.12yr avg
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Research Topics

Stochastic processes and financial applications(58), Economic theories and models(21), Risk and Portfolio Optimization(19), Mathematical Biology Tumor Growth(12), Stochastic processes and statistical mechanics(11)

Publications82 total

Marginal flows of non-entropic weak Schrödinger bridges
arXiv (Cornell University)·2025Open Access
Marginal flows of non-entropic weak Schrödinger bridges
ArXiv.org·2025Open Access
Particle system approximation of Nash equilibria in large games
arXiv (Cornell University)·2025Open Access
Conditional McKean-Vlasov control
arXiv (Cornell University)·2025Open Access
A deep learning method for optimal investment under relative performance criteria among heterogeneous agents
European Journal of Operational Research·2025· 1 cited
Non-asymptotic Convergence Rates for Mean-Field Games: Weak Formulation and McKean–Vlasov BSDEs
Applied Mathematics & Optimization·2025· 11 citedOpen Access
Optimal bubble riding: a mean field game with varying entry times
Finance and Stochastics·2025
Propagation of Chaos for Mean Field Schrödinger Problems
SIAM Journal on Control and Optimization·2025· 1 cited
Mean field games with common noise via Malliavin calculus
Electronic Communications in Probability·2025Open Access
Pasting of Equilibria and Donsker-type Results for Mean Field Games
arXiv (Cornell University)·2024Open Access
Interacting particle systems on sparse $W$-random graphs
arXiv (Cornell University)·2024Open Access
A policy iteration algorithm for non-Markovian control problems
arXiv (Cornell University)·2024Open Access
A Probabilistic Approach to Discounted Infinite Horizon and Invariant Mean Field Games
arXiv (Cornell University)·2024Open Access
Nonasymptotic Estimation of Risk Measures Using Stochastic Gradient Langevin Dynamics
SIAM Journal on Financial Mathematics·2024
Mean field games with common noise via Malliavin calculus
arXiv (Cornell University)·2024Open Access
Optimal bubble riding with price-dependent entry: a mean field game of controls with common noise
Mathematics and Financial Economics·2024· 2 cited
On the Population Size in Stochastic Differential Games
Notices of the American Mathematical Society·2024Open Access
A Deep Learning Method for Optimal Investment Under Relative Performance Criteria Among Heterogeneous Agents
arXiv (Cornell University)·2024Open Access
Laplace principle for large population games with control interaction
Stochastic Processes and their Applications·2024· 1 cited
Optimal investment in a large population of competitive and heterogeneous agents
Finance and Stochastics·2024· 7 cited
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Frequent Co-authors

Michael Kupper(10), Peng Luo(10), Olivier Menoukeu Pamen(6), Mathieu Laurière(5), Daniel Bartl(5), Julio Backhoff‐Veraguas(5), Samuel Drapeau(4), Patrick Cheridito(3), Dylan Possamaï(3), Emanuela Rosazza Gianin(2), Mathias Pohl(2), Alexander Ristig(2), Walter Schachermayer(2), Gregor Heyne(2), Khaled Bahlali(2), Xuchen Zhou(2), Daniel Lacker(2), Shichun Wang(2), Joe Jackson(1), David J. Prömel(1)