E-LIB Suche - Ergebnisse für: Sircar, Ronnie

1

A Mean Field Games Model for Cryptocurrency Mining:

Li, Zongxi ; Reppen, A. Max ; Sircar, Ronnie
Management Science. 70 (2024) 4 - p. 2188-2208 , 2024

Link: https://doi.org/10.1287/..

2

When uncertainty and volatility are disconnected: Implicati..:

Aït-Sahalia, Yacine ; Matthys, Felix ; Osambela, Emilio.
Journal of Econometrics. , 2024

Link: https://doi.org/10.1016/..

3

Master equation for Cournot mean field games of control wit..:

Graber, P. Jameson ; Sircar, Ronnie
Journal of Differential Equations. 343 (2023) - p. 816-909 , 2023

Link: https://doi.org/10.1016/..

4

Accelerated Share Repurchases Under Stochastic Volatility:

Krishnan, Nikhil ; Sircar, Ronnie
Applied Mathematical Finance, Forthcoming. , 2023

Link: https://ssrn.com/abstrac..

5

A Maximum Principle Approach to a Deterministic Mean Field ..:

Graewe, Paulwin ; Horst, Ulrich ; Sircar, Ronnie
SIAM Journal on Control and Optimization. 60 (2022) 5 - p. 3173-3190 , 2022

Link: https://doi.org/10.1137/..

6

Accelerated Share Repurchases Under Stochastic Volatility:

Krishnan, Nikhil ; Sircar, Ronnie
Applied Mathematical Finance. 29 (2022) 5 - p. 331-365 , 2022

Link: https://doi.org/10.1080/..

7

Sub- and Supersolution Approach to Accuracy Analysis of Por..:

Fouque, Jean-Pierre ; Hu, Ruimeng ; Sircar, Ronnie
SIAM Journal on Financial Mathematics. 13 (2022) 1 - p. 109-128 , 2022

Link: https://doi.org/10.1137/..

8

Power Mixture Forward Performance Processes:

Avanesyan, Levon ; Sircar, Ronnie
SIAM Journal on Financial Mathematics. 13 (2022) 3 - p. 1040-1062 , 2022

Link: https://doi.org/10.1137/..

9

When Uncertainty and Volatility Are Disconnected: Implicati..

NBER working paper series, no. w29195

Aït-Sahalia, Yacine ; Matthys, Felix ; Osambela, Emilio. , 2021

Link: https://www.nber.org/pap..

10

Construction of a class of forward performance processes in..:

Avanesyan, Levon ; Shkolnikov, Mykhaylo ; Sircar, Ronnie
Finance and Stochastics. 24 (2020) 4 - p. 981-1011 , 2020

Link: https://doi.org/10.1007/..

11

Optimal Investment with Transaction Costs and Stochastic Vo..:

Bichuch, Maxim ; Sircar, Ronnie
SIAM Journal on Control and Optimization. 57 (2019) 1 - p. 437-467 , 2019

Link: https://doi.org/10.1137/..

12

Portfolio Benchmarking Under Drawdown Constraint and Stocha..:

Agarwal, Ankush ; Sircar, Ronnie
SIAM Journal on Financial Mathematics. 9 (2018) 2 - p. 435-464 , 2018

Link: https://doi.org/10.1137/..

13

Fracking, Renewables, and Mean Field Games:

Chan, Patrick ; Sircar, Ronnie
SIAM Review. 59 (2017) 3 - p. 588-615 , 2017

Link: https://www.jstor.org/st..

14

Optimal Investment with Transaction Costs and Stochastic Vo..:

Bichuch, Maxim ; Sircar, Ronnie
SIAM Journal on Control and Optimization. 55 (2017) 6 - p. 3799-3832 , 2017

Link: https://doi.org/10.1137/..

15

Technology ladders and R&D in dynamic Cournot markets:

Ludkovski, Michael ; Sircar, Ronnie
Journal of Economic Dynamics and Control. 69 (2016) - p. 127-151 , 2016

Link: https://doi.org/10.1016/..