papers
Publications (16)
math.OC2017
On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
Julio Backhoff Veraguas, Ludovic Tangpi
math.PR2018
Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients
Olivier Menoukeu-Pamen, Youssef Ouknine, Ludovic Tangpi
math.PR2014
Dual Representation of Minimal Supersolutions of Convex BSDEs
Samuel Drapeau, Michael Kupper, Emanuela Rosazza Gianin +1
math.PR2015
BSDEs on finite and infinite horizon with time-delayed generators
Peng Luo, Ludovic Tangpi
math.PR2019
Strong solutions of some one-dimensional SDEs with random and unbounded drifts
Olivier Menoukeu-Pamen, Ludovic Tangpi
q-fin.TR2018
Theoretical and empirical analysis of trading activity
Mathias Pohl, Alexander Ristig, Walter Schachermayer +1
q-fin.MF2019
Duality for pathwise superhedging in continuous time
Daniel Bartl, Michael Kupper, David J. Prömel +1
q-fin.MF2019
Efficient hedging under ambiguity in continuous time
Ludovic Tangpi
q-fin.TR2017
The amazing power of dimensional analysis: Quantifying market impact
Mathias Pohl, Alexander Ristig, Walter Schachermayer +1
math.FA2016
Duality for increasing convex functionals with countably many marginal constraints
Daniel Bartl, Patrick Cheridito, Michael Kupper +1
math.OC2015
Portfolio Optimization under Nonlinear Utility
Gregor Heyne, Michael Kupper, Ludovic Tangpi
math.PR2018
Non-exponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and Control
Julio Backhoff-Veraguas, Daniel Lacker, Ludovic Tangpi
q-fin.MF2017
Duality formulas for robust pricing and hedging in discrete time
Patrick Cheridito, Michael Kupper, Ludovic Tangpi
q-fin.RM2018
Concentration of dynamic risk measures in a Brownian filtration
Ludovic Tangpi
math.PR2016
Multidimensional Markov FBSDEs with superquadratic growth
Michael Kupper, Peng Luo, Ludovic Tangpi
math.PR2016
Minimal Supersolutions of Convex BSDEs under Constraints
Gregor Heyne, Michael Kupper, Christoph Mainberger +1