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Fingerprint Dive into the research topics where Ludovic Tangpi is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

Generator Mathematics
Duality Mathematics
Supersolution Mathematics
Risk Measures Mathematics
Backward Stochastic Differential Equation Mathematics
Pathwise Uniqueness Mathematics
Multidimensional Systems Mathematics
Pricing Mathematics

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Research Output 2016 2019

  • 31 Citations
  • 3 h-Index
  • 13 Article
1 Citation (Scopus)

Computational aspects of robust optimized certainty equivalents and option pricing

Bartl, D., Drapeau, S. & Tangpi Ndounkeu, L., Jan 1 2019, In : Mathematical Finance.

Princeton University

Research output: Contribution to journalArticle

Option Pricing
pricing
Value at Risk
Wasserstein Distance
Optimal Transport
1 Citation (Scopus)

Concentration of dynamic risk measures in a Brownian filtration

Tangpi Ndounkeu, L., May 1 2019, In : Stochastic Processes and their Applications. 129, 5, p. 1477-1491 15 p.

Princeton University

Research output: Contribution to journalArticle

Risk Measures
Filtration
Liquidity
Backward Stochastic Differential Equation
Concentration Inequalities
1 Citation (Scopus)

Duality for pathwise superhedging in continuous time

Bartl, D., Kupper, M., Prömel, D. J. & Tangpi, L., Jul 15 2019, In : Finance and Stochastics. 23, 3, p. 697-728 32 p.

Princeton University

Research output: Contribution to journalArticle

Open Access
Continuous Time
Duality
Martingale Measure
Sample space
Supremum

Multidimensional Markovian FBSDEs with super-quadratic growth

Kupper, M., Luo, P. & Tangpi Ndounkeu, L., Mar 1 2019, In : Stochastic Processes and their Applications. 129, 3, p. 902-923 22 p.

Research output: Contribution to journalArticle

Local Existence
Generator
Malliavin Calculus
Existence and Uniqueness Results
Global Solution

BSDES on finite and infinite horizon with time-delayed generators

Luo, P. & Tangpi Ndounkeu, L., Jan 1 2018, In : Communications on Stochastic Analysis. 12, 1, p. 59-72 14 p.

Research output: Contribution to journalArticle

Finite Horizon
Infinite Horizon
Generator
Multi-dimension
Backward Stochastic Differential Equation