13 citations · 32 across the 13 of their papers we have counts for
14 papers
Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems
Elisa Mastrogiacomo, Marco Tarsia
We study time-inconsistent recursive stochastic control problems, i.e., for which Bellman's principle of optimality does not hold. For this class of problems classical optimal cont…
Decomposable sums and their implications on naturally quasiconvex risk measures
Çağın Ararat, Barış Bilir, Elisa Mastrogiacomo
Convexity and quasiconvexity are two properties that capture the concept of diversification for risk measures. Between the two, there is natural quasiconvexity, an old but not so w…
Dynamic capital allocation rules via BSDEs: an axiomatic approach
Elisa Matrogiacomo, Emanuela Rosazza Gianin
In this paper, we study capital allocation for dynamic risk measures, with an axiomatic approach but also by exploiting the relation between risk measures and BSDEs. Although there…
Equilibrium strategies for constrained time-inconsistent control problems
Elisa Mastrogiacomo, Marco Tarsia
This paper addresses the issue of time inconsistency in recursive stochastic control problems, in which the forward state process evolves under the influence of an additional recur…
Noether theorem in stochastic optimal control problems via contact symmetries
Francesco C. De Vecchi, Elisa Mastrogiacomo, Mattia Turra +1
We establish a generalization of Noether theorem for stochastic optimal control problems. Exploiting the tools of jet bundles and contact geometry, we prove that from any (contact)…
Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models
Sergio Albeverio, Carlo Marinelli, Elisa Mastrogiacomo
We study the dependence of mild solutions to linear stochastic evolution equations on Hilbert space driven by Wiener noise, with drift having linear part of the type $A+\varepsilon…