Ronnie Sircar

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2 Finished

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

1411 Citations
22 h-Index
53 Article
4 Chapter
3 Conference contribution
2 Editorial
More

Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets
Fouque, J. P., Hu, R. & Sircar, R., 2022, In: SIAM Journal on Financial Mathematics. 13, 1, p. 109-128 20 p.
Research output: Contribution to journal › Article › peer-review
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem
Avanesyan, L., Shkolnikov, M. & Sircar, R., Oct 1 2020, In: Finance and Stochastics. 24, 4, p. 981-1011 31 p.
Research output: Contribution to journal › Article › peer-review
2 Scopus citations
Deep PQR: Solving inverse reinforcement learning using anchor actions
Geng, S., Nassif, H., Manzanares, C. A., Max Reppen, A. & Sircar, R., 2020, 37th International Conference on Machine Learning, ICML 2020. Daume, H. & Singh, A. (eds.). International Machine Learning Society (IMLS), p. 3389-3399 11 p. (37th International Conference on Machine Learning, ICML 2020; vol. PartF168147-5).
Research output: Chapter in Book/Report/Conference proceeding › Conference contribution
Optimal investment with transaction costs and stochastic volatility Part II: Finite Horizon
Bichuch, M. & Sircar, R., 2019, In: SIAM Journal on Control and Optimization. 57, 1, p. 437-467 31 p.
Research output: Contribution to journal › Article › peer-review
2 Scopus citations
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 › peer-review
4 Scopus citations

Ronnie Sircar

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AMPS:Collaborative Research: Stochastic Modeling of the Power Grid

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

Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets

Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem

Deep PQR: Solving inverse reinforcement learning using anchor actions

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

Portfolio benchmarking under drawdown constraint and stochastic sharpe ratio

Ronnie Sircar

Fingerprint

Network

Projects

AMPS:Collaborative Research: Stochastic Modeling of the Power Grid

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

Research output

Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets

Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem

Deep PQR: Solving inverse reinforcement learning using anchor actions

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

Portfolio benchmarking under drawdown constraint and stochastic sharpe ratio