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Ronnie Sircar

  • 1154 Citations
  • 20 h-Index
19982019

Research output per year

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Projects

AMPS:Collaborative Research: Stochastic Modeling of the Power Grid

Sircar, R.

NSF - National Science Foundation

9/1/17 → 8/31/21

Project: Research project

    • Mathematics of Energy Markets & Differential Games, Financialization of Commodities Markets, and Volatility & ETF Derivatives

    Sircar, R.

    NSF - National Science Foundation

    9/1/12 → 8/31/16

    Project: Research project

    • Research Output

    Optimal investment with transaction costs and stochastic volatility Part II: Finite Horizon

    Bichuch, M. & Sircar, R., Jan 1 2019, In : SIAM Journal on Control and Optimization. 57, 1, p. 437-467 31 p.

    Research output: Contribution to journal › Article

    • Portfolio benchmarking under drawdown constraint and stochastic sharpe ratio

    Agarwal, A. & Sircar, R., 2018, In : SIAM Journal on Financial Mathematics. 9, 2, p. 435-464 30 p.

    Research output: Contribution to journal › Article

    • 1 Scopus citations

    Fracking, renewables, and mean field games

    Chan, P. & Sircar, R., Jan 1 2017, In : SIAM Review. 59, 3, p. 588-615 28 p.

    Research output: Contribution to journal › Article

    • 8 Scopus citations

    Optimal investment with transaction costs and stochastic volatility Part I: Infinite horizon

    Bichuch, M. & Sircar, R., Jan 1 2017, In : SIAM Journal on Control and Optimization. 55, 6, p. 3799-3832 34 p.

    Research output: Contribution to journal › Article

    • 1 Scopus citations

    Perturbation analysis for investment portfolios under partial information with expert opinions

    Fouque, J. P., Papanicolaou, A. & Sircar, R., Jan 1 2017, In : SIAM Journal on Control and Optimization. 55, 3, p. 1534-1566 33 p.

    Research output: Contribution to journal › Article

    • 5 Scopus citations