Ronnie Sircar

Publication Activity (10 Years)

Years Active: 2003-2024
Publications (10 Years): 17

Top Topics

Infinite Horizon

Transaction Costs

Reinforcement Learning

Top Venues

SIAM J. Financial Math.

SIAM J. Control. Optim.

Finance Stochastics

Publications

Zongxi Li, A. Max Reppen, Ronnie Sircar
A Mean Field Games Model for Cryptocurrency Mining. Manag. Sci. 70 (4) (2024)
Melda Alaluf, Giulia Crippa, Sinong Geng, Zijian Jing, Nikhil Krishnan, Sanjeev Kulkarni, Wyatt Navarro, Ronnie Sircar, Jonathan Tang
Reinforcement Learning Paycheck Optimization for Multivariate Financial Goals. CoRR (2024)
Melda Alaluf, Giulia Crippa, Sinong Geng, Zijian Jing, Nikhil Krishnan, Sanjeev Kulkarni, Wyatt Navarro, Ronnie Sircar, Jonathan Tang
Reinforcement learning paycheck optimization for multivariate financial goals. Risk Decis. Anal. 9 (1) (2023)
Jean-Pierre Fouque, Ruimeng Hu, Ronnie Sircar
Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets. SIAM J. Financial Math. 13 (1) (2022)
Paulwin Graewe, Ulrich Horst, Ronnie Sircar
A Maximum Principle Approach to a Deterministic Mean Field Game of Control with Absorption. SIAM J. Control. Optim. 60 (5) (2022)
Levon Avanesyan, Ronnie Sircar
Power Mixture Forward Performance Processes. SIAM J. Financial Math. 13 (3) (2022)
Sinong Geng, Houssam Nassif, Carlos A. Manzanares, A. Max Reppen, Ronnie Sircar
Deep PQR: Solving Inverse Reinforcement Learning using Anchor Actions. ICML (2020)
Sinong Geng, Houssam Nassif, Carlos A. Manzanares, A. Max Reppen, Ronnie Sircar
Identifying Reward Functions using Anchor Actions. CoRR (2020)
Maxim Bichuch, Ronnie Sircar
Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon. SIAM J. Control. Optim. 57 (1) (2019)
Ankush Agarwal, Ronnie Sircar
Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio. SIAM J. Financial Math. 9 (2) (2018)
Maxim Bichuch, Ronnie Sircar
Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon. SIAM J. Control. Optim. 55 (6) (2017)
Jean-Pierre Fouque, A. Papanicolaou, Ronnie Sircar
Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions. SIAM J. Control. Optim. 55 (3) (2017)
Patrick Chan, Ronnie Sircar
Fracking, Renewables, and Mean Field Games. SIAM Rev. 59 (3) (2017)
Matthew J. Lorig, Ronnie Sircar
Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio. SIAM J. Financial Math. 7 (1) (2016)
Mykhaylo Shkolnikov, Ronnie Sircar, Thaleia Zariphopoulou
Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations. SIAM J. Financial Math. 7 (1) (2016)
Jean-Pierre Fouque, Matthew J. Lorig, Ronnie Sircar
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. Finance Stochastics 20 (3) (2016)
Patrick Chan, Ronnie Sircar, Michael V. Stein
A Feedback Model for the Financialization of Commodity Markets. SIAM J. Financial Math. 6 (1) (2015)
Andrew Ledvina, Ronnie Sircar
Dynamic Bertrand and Cournot competition: Asymptotic and computational analysis of product differentiation. Risk Decis. Anal. 3 (3) (2012)
René Carmona, Ronnie Sircar
Message From the Editors-in-Chief. SIAM J. Financial Math. 1 (1) (2010)
Christopher J. Harris, Sam D. Howison, Ronnie Sircar
Games with Exhaustible Resources. SIAM J. Appl. Math. 70 (7) (2010)
Jean-Pierre Fouque, Ronnie Sircar, Knut Sølna
Multiname and Multiscale Default Modeling. Multiscale Model. Simul. 7 (4) (2009)
Tim Leung, Ronnie Sircar
Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation. SIAM J. Control. Optim. 48 (3) (2009)
Erhan Bayraktar, Ulrich Horst, Ronnie Sircar
A Limit Theorem for Financial Markets with Inert Investors. Math. Oper. Res. 31 (4) (2006)
Aytaç Ílhan, Mattias Jonsson, Ronnie Sircar
Optimal investment with derivative securities. Finance Stochastics 9 (4) (2005)
Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna
Maturity cycles in implied volatility. Finance Stochastics 8 (4) (2004)
Ronnie Sircar, Thaleia Zariphopoulou
Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random. SIAM J. Control. Optim. 43 (4) (2004)
Aytaç Ílhan, Mattias Jonsson, Ronnie Sircar
Singular Perturbations for Boundary Value Problems Arising from Exotic Options. SIAM J. Appl. Math. 64 (4) (2004)
George Papanicolaou, Jean-Pierre Fouque, Knut Solna, Ronnie Sircar
Singular Perturbations in Option Pricing. SIAM J. Appl. Math. 63 (5) (2003)
Erhan Bayraktar, H. Vincent Poor, Ronnie Sircar
Efficient estimation of the Hurst parameter in high frequency financial data with seasonalities using wavelets. CIFEr (2003)
Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna
Multiscale Stochastic Volatility Asymptotics. Multiscale Model. Simul. 2 (1) (2003)