1 citations · 1 across the 4 of their papers we have counts for
4 papers
Integrated expectile-based measures of inequality
Ignacio Cascos, Marco Tarsia
Expectiles provide a class of asymmetric location functionals that incorporate the magnitude of deviations and admit a natural geometric interpretation. Building on their structura…
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…
Discrepancy geometry in approximate Bayesian inference: transport and risk perspectives
Daniele Cassani, Antonietta Mira, Marco Tarsia
Approximate Bayesian Computation (ABC) replaces the evaluation of an intractable likelihood with comparisons between observed and simulated data. We develop a unified measure-theor…
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…