Edit Profile (opens in new tab) Sircar, Ronnie Co-Author Distance Author ID: sircar.ronnie Published as: Sircar, Ronnie; Sircar, R. Documents Indexed: 72 Publications since 1974, including 1 Book 3 Contributions as Editor Co-Authors: 40 Co-Authors with 65 Joint Publications 895 Co-Co-Authors all top 5 Co-Authors 9 single-authored 15 Fouque, Jean-Pierre 8 Papanicolaou, George C. 7 Zariphopoulou, Thaleia 6 İlhan, Aytaç 6 Jonsson, Mattias 6 Sølna, Knut 5 Leung, Tim 3 Chan, Patrick P. K. 3 Horst, Ulrich 3 Ledvina, Andrew 3 Ludkovski, Michael 3 Papanicolaou, Andrew 2 Agarwal, Ankush 2 Avanesyan, Levon 2 Bichuch, Maxim 2 Das, Tarapada 2 Lorig, Matthew J. 2 Papageorgiou, Evan 2 Shkolnikov, Mykhaylo 1 Aïd, René 1 Bayraktar, Erhan 1 Benth, Fred Espen 1 Cotton, Peter 1 Crisan, Dan O. 1 Darius, Dries 1 Dong, Yidong 1 Graewe, Paulwin 1 Guasoni, Paolo 1 Harris, Chris 1 Henderson, Vicky 1 Howison, Samuel Dexter 1 Hu, Ruimeng 1 Juneja, Sandeep 1 Krishnan, Nikhil 1 Manolarakis, Konstantinos 1 Masoliver, Jaume 1 Muhle-Karbe, Johannes 1 Mulvey, John M. 1 Nee, Colm 1 Perelló, Josep 1 Protter, Philip Elliott 1 Roy, Supriyo 1 Simsek, Koray D. 1 Stein, Michael V. 1 Sturm, Stephan 1 Toussaint, Antoine 1 Xiong, Wei all top 5 Serials 6 SIAM Journal on Control and Optimization 6 SIAM Journal on Financial Mathematics 5 Applied Mathematical Finance 5 Mathematical Finance 4 Finance and Stochastics 4 Quantitative Finance 3 SIAM Journal on Applied Mathematics 2 Indian Journal of Pure & Applied Mathematics 2 Applied Mathematics and Optimization 2 Ranchi University Mathematical Journal 2 Journal of Economic Dynamics & Control 2 Multiscale Modeling & Simulation 2 Mathematics and Financial Economics 1 Acta Mechanica 1 Journal of Mathematical and Physical Sciences 1 Journal of Sound and Vibration 1 Bulletin of the Calcutta Mathematical Society 1 Journal of Differential Equations 1 Mathematics of Operations Research 1 Proceedings of the National Academy of Sciences, India. Section A 1 European Journal of Applied Mathematics 1 Bulletin de l’Académie Polonaise des Sciences, Série des Sciences Techniques 1 National Academy Science Letters 1 Revue Roumaine des Sciences Techniques. Série de Mécanique Appliquée 1 SIAM Review 1 Stochastic Processes and their Applications 1 International Journal of Theoretical and Applied Finance 1 Communications in Mathematical Sciences 1 Journal of Statistical Mechanics: Theory and Experiment 1 Stochastics 1 Fields Institute Communications 1 Lecture Notes in Mathematics 1 Risk and Decision Analysis all top 5 Fields 63 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 30 Probability theory and stochastic processes (60-XX) 15 Systems theory; control (93-XX) 11 Partial differential equations (35-XX) 11 Mechanics of deformable solids (74-XX) 8 Calculus of variations and optimal control; optimization (49-XX) 3 General and overarching topics; collections (00-XX) 3 Statistics (62-XX) 3 Operations research, mathematical programming (90-XX) 2 Ordinary differential equations (34-XX) 1 Functions of a complex variable (30-XX) 1 Approximations and expansions (41-XX) 1 Integral transforms, operational calculus (44-XX) 1 Numerical analysis (65-XX) 1 Computer science (68-XX) 1 Fluid mechanics (76-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 57 Publications have been cited 953 times in 600 Documents Cited by ▼ Year ▼ Multiscale stochastic volatility for equity, interest rate, and credit derivatives. Zbl 1248.91003Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; Sølna, Knut 145 2011 Multiscale stochastic volatility asymptotics. Zbl 1074.91015Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; Solna, Knut 76 2004 Singular perturbations in option pricing. Zbl 1039.91024Fouque, J.-P.; Papanicolaou, G.; Sircar, R.; Solna, K. 76 2003 Mean-reverting stochastic volatility. Zbl 1153.91497Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie 46 2000 Portfolio optimization and stochastic volatility asymptotics. Zbl 1377.91148Fouque, Jean-Pierre; Sircar, Ronnie; Zariphopoulou, Thaleia 38 2017 Bertrand and Cournot mean field games. Zbl 1318.49072Chan, Patrick; Sircar, Ronnie 38 2015 Accounting for risk aversion, vesting, job termination risk and multiple exercises in valuation of employee stock options. Zbl 1155.91388Leung, Tim; Sircar, Ronnie 34 2009 Bounds and asymptotic approximations for utility prices when volatility is random. Zbl 1101.91049Sircar, Ronnie; Zariphopoulou, Thaleia 31 2005 Fracking, renewables, and mean field games. Zbl 1369.91146Chan, Patrick; Sircar, Ronnie 28 2017 Optimal investment problems and volatility homogenization approximations. Zbl 1104.91302Jonsson, Mattias; Sircar, Ronnie 25 2002 Stochastic volatility effects on defaultable bonds. Zbl 1142.91523Fouque, Jean-Pierre; Sircar, Ronnie; Sølna, Knut 25 2006 Stochastic volatility corrections for interest rate derivatives. Zbl 1124.91331Cotton, Peter; Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie 22 2004 Optimal investment with derivative securities. Zbl 1092.91018Ilhan, Aytaç; Jonsson, Mattias; Sircar, Ronnie 21 2005 Oligopoly games under asymmetric costs and an application to energy production. Zbl 1260.91107Ledvina, Andrew; Sircar, Ronnie 19 2012 Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. Zbl 1369.91180Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Ronnie 19 2016 A regime-switching Heston model for VIX and S&P 500 implied volatilities. Zbl 1402.91808Papanicolaou, Andrew; Sircar, Ronnie 19 2014 Maturity cycles in implied volatility. Zbl 1063.91066Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; Solna, Knut 16 2004 Utility valuation of multi-name credit derivatives and application to CDOs. Zbl 1198.91214Sircar, Ronnie; Zariphopoulou, Thaleia 16 2010 Dynamic Bertrand oligopoly. Zbl 1237.91160Ledvina, Andrew; Sircar, Ronnie 15 2011 Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations. Zbl 1410.91430Shkolnikov, Mykhaylo; Sircar, Ronnie; Zariphopoulou, Thaleia 14 2016 Singular perturbations for boundary value problems arising from exotic options. Zbl 1099.91062Ilhan, Aytac; Jonsson, Mattias; Sircar, Ronnie 14 2004 Filtering and portfolio optimization with stochastic unobserved drift in asset returns. Zbl 1321.91109Fouque, Jean-Pierre; Papanicolaou, Andrew; Sircar, Ronnie 14 2015 A general framework for evaluating executive stock options. Zbl 1163.91423Sircar, Ronnie; Xiong, Wei 14 2007 Games with exhaustible resources. Zbl 1210.91017Harris, Chris; Howison, Sam; Sircar, Ronnie 14 2010 Perturbation analysis for investment portfolios under partial information with expert opinions. Zbl 1414.91337Fouque, J.-P.; Papanicolaou, A.; Sircar, R. 13 2017 Time-inconsistent portfolio investment problems. Zbl 1390.91280Dong, Yidong; Sircar, Ronnie 11 2014 Portfolio optimization under local-stochastic volatility: coefficient Taylor series approximations and implied Sharpe ratio. Zbl 1410.91423Lorig, Matthew; Sircar, Ronnie 11 2016 Optimal static-dynamic hedges for barrier options. Zbl 1145.91339İlhan, Aytaç; Sircar, Ronnie 11 2006 Exponential hedging with optimal stopping and application to employee stock option valuation. Zbl 1192.91182Leung, Tim; Sircar, Ronnie 11 2009 A limit theorem for financial markets with inert investors. Zbl 1276.91055Bayraktar, Erhan; Horst, Ulrich; Sircar, Ronnie 10 2006 Forward indifference valuation of American options. Zbl 1260.91241Leung, Tim; Sircar, Ronnie; Zariphopoulou, Thaleia 9 2012 Implied volatility of leveraged ETF options. Zbl 1396.91748Leung, Tim; Sircar, Ronnie 8 2015 Technology ladders and R&D in dynamic Cournot markets. Zbl 1401.91265Ludkovski, Michael; Sircar, Ronnie 7 2016 From smile asymptotics to market risk measures. Zbl 1314.91215Sircar, Ronnie; Sturm, Stephan 7 2015 Multiscale intensity models for single name credit derivatives. Zbl 1134.91456Papageorgiou, E.; Sircar, R. 7 2008 Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model. Zbl 1459.91201Perelló, Josep; Sircar, Ronnie; Masoliver, Jaume 7 2008 Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem. Zbl 1454.35388Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Ronnie 7 2020 Credit derivatives and risk aversion. Zbl 1189.91209Leung, Tim; Sircar, Ronnie; Zariphopoulou, Thaleia 6 2008 Multiscale intensity models and name grouping for valuation of multi-name credit derivatives. Zbl 1178.91066Papageorgiou, Evan; Sircar, Ronnie 6 2009 American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics. Zbl 1468.91158Agarwal, Ankush; Juneja, Sandeep; Sircar, Ronnie 6 2016 Exploration and exhaustibility in dynamic Cournot games. Zbl 1239.91121Ludkovski, Michael; Sircar, Ronnie 5 2012 Optimal investment with transaction costs and stochastic volatility. II: Finite horizon. Zbl 1419.91578Bichuch, Maxim; Sircar, Ronnie 5 2019 Multiname and multiscale default modeling. Zbl 1179.91264Fouque, Jean-Pierre; Sircar, Ronnie; Sølna, Knut 4 2009 Optimal investment with transaction costs and stochastic volatility. I: Infinite horizon. Zbl 1415.91251Bichuch, Maxim; Sircar, Ronnie 4 2017 Utility valuation of credit derivatives: single and two-name cases. Zbl 1154.91515Sircar, Ronnie; Zariphopoulou, Thaleia 3 2007 Stochastic volatility and epsilon-martingale decomposition. Zbl 1138.91441Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie 2 2001 A framework for dynamic hedging under convex risk measures. Zbl 1246.91120Toussaint, Antoine; Sircar, Ronnie 2 2011 Portfolio benchmarking under drawdown constraint and stochastic Sharpe ratio. Zbl 1410.91406Agarwal, Ankush; Sircar, Ronnie 2 2018 Optimal static-dynamic hedges for exotic options under convex risk measures. Zbl 1204.91120İlhan, Aytaç; Jonsson, Mattias; Sircar, Ronnie 2 2009 A feedback model for the financialization of commodity markets. Zbl 1338.91127Chan, Patrick; Sircar, Ronnie; Stein, Michael V. 1 2015 Vibration of rectilinear plates on elastic foundation at large amplitude. Zbl 0294.73058Sircar, R. 1 1974 Vibration of rectilinear plates on Vlasov’s foundation at large amplitude. Zbl 0588.73105Das, T.; Sircar, R. 1 1986 Fundamental frequency of vibration of a rectangular plate on a nonlinear elastic foundation. Zbl 0427.73045Sircar, R. 1 1980 Portfolio optimization. Zbl 1185.91162Ilhan, Aytac; Jonsson, Mattias; Sircar, Ronnie 1 2009 A maximum principle approach to a deterministic mean field game of control with absorption. Zbl 1503.91027Graewe, Paulwin; Horst, Ulrich; Sircar, Ronnie 1 2022 Master equation for Cournot mean field games of control with absorption. Zbl 1505.91060Graber, P. Jameson; Sircar, Ronnie 1 2023 Dynamic Bertrand and Cournot competition: asymptotic and computational analysis of product differentiation. Zbl 1409.91165Ledvina, Andrew; Sircar, Ronnie 1 2012 Master equation for Cournot mean field games of control with absorption. Zbl 1505.91060Graber, P. Jameson; Sircar, Ronnie 1 2023 A maximum principle approach to a deterministic mean field game of control with absorption. Zbl 1503.91027Graewe, Paulwin; Horst, Ulrich; Sircar, Ronnie 1 2022 Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem. Zbl 1454.35388Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Ronnie 7 2020 Optimal investment with transaction costs and stochastic volatility. II: Finite horizon. Zbl 1419.91578Bichuch, Maxim; Sircar, Ronnie 5 2019 Portfolio benchmarking under drawdown constraint and stochastic Sharpe ratio. Zbl 1410.91406Agarwal, Ankush; Sircar, Ronnie 2 2018 Portfolio optimization and stochastic volatility asymptotics. Zbl 1377.91148Fouque, Jean-Pierre; Sircar, Ronnie; Zariphopoulou, Thaleia 38 2017 Fracking, renewables, and mean field games. Zbl 1369.91146Chan, Patrick; Sircar, Ronnie 28 2017 Perturbation analysis for investment portfolios under partial information with expert opinions. Zbl 1414.91337Fouque, J.-P.; Papanicolaou, A.; Sircar, R. 13 2017 Optimal investment with transaction costs and stochastic volatility. I: Infinite horizon. Zbl 1415.91251Bichuch, Maxim; Sircar, Ronnie 4 2017 Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. Zbl 1369.91180Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Ronnie 19 2016 Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations. Zbl 1410.91430Shkolnikov, Mykhaylo; Sircar, Ronnie; Zariphopoulou, Thaleia 14 2016 Portfolio optimization under local-stochastic volatility: coefficient Taylor series approximations and implied Sharpe ratio. Zbl 1410.91423Lorig, Matthew; Sircar, Ronnie 11 2016 Technology ladders and R&D in dynamic Cournot markets. Zbl 1401.91265Ludkovski, Michael; Sircar, Ronnie 7 2016 American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics. Zbl 1468.91158Agarwal, Ankush; Juneja, Sandeep; Sircar, Ronnie 6 2016 Bertrand and Cournot mean field games. Zbl 1318.49072Chan, Patrick; Sircar, Ronnie 38 2015 Filtering and portfolio optimization with stochastic unobserved drift in asset returns. Zbl 1321.91109Fouque, Jean-Pierre; Papanicolaou, Andrew; Sircar, Ronnie 14 2015 Implied volatility of leveraged ETF options. Zbl 1396.91748Leung, Tim; Sircar, Ronnie 8 2015 From smile asymptotics to market risk measures. Zbl 1314.91215Sircar, Ronnie; Sturm, Stephan 7 2015 A feedback model for the financialization of commodity markets. Zbl 1338.91127Chan, Patrick; Sircar, Ronnie; Stein, Michael V. 1 2015 A regime-switching Heston model for VIX and S&P 500 implied volatilities. Zbl 1402.91808Papanicolaou, Andrew; Sircar, Ronnie 19 2014 Time-inconsistent portfolio investment problems. Zbl 1390.91280Dong, Yidong; Sircar, Ronnie 11 2014 Oligopoly games under asymmetric costs and an application to energy production. Zbl 1260.91107Ledvina, Andrew; Sircar, Ronnie 19 2012 Forward indifference valuation of American options. Zbl 1260.91241Leung, Tim; Sircar, Ronnie; Zariphopoulou, Thaleia 9 2012 Exploration and exhaustibility in dynamic Cournot games. Zbl 1239.91121Ludkovski, Michael; Sircar, Ronnie 5 2012 Dynamic Bertrand and Cournot competition: asymptotic and computational analysis of product differentiation. Zbl 1409.91165Ledvina, Andrew; Sircar, Ronnie 1 2012 Multiscale stochastic volatility for equity, interest rate, and credit derivatives. Zbl 1248.91003Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; Sølna, Knut 145 2011 Dynamic Bertrand oligopoly. Zbl 1237.91160Ledvina, Andrew; Sircar, Ronnie 15 2011 A framework for dynamic hedging under convex risk measures. Zbl 1246.91120Toussaint, Antoine; Sircar, Ronnie 2 2011 Utility valuation of multi-name credit derivatives and application to CDOs. Zbl 1198.91214Sircar, Ronnie; Zariphopoulou, Thaleia 16 2010 Games with exhaustible resources. Zbl 1210.91017Harris, Chris; Howison, Sam; Sircar, Ronnie 14 2010 Accounting for risk aversion, vesting, job termination risk and multiple exercises in valuation of employee stock options. Zbl 1155.91388Leung, Tim; Sircar, Ronnie 34 2009 Exponential hedging with optimal stopping and application to employee stock option valuation. Zbl 1192.91182Leung, Tim; Sircar, Ronnie 11 2009 Multiscale intensity models and name grouping for valuation of multi-name credit derivatives. Zbl 1178.91066Papageorgiou, Evan; Sircar, Ronnie 6 2009 Multiname and multiscale default modeling. Zbl 1179.91264Fouque, Jean-Pierre; Sircar, Ronnie; Sølna, Knut 4 2009 Optimal static-dynamic hedges for exotic options under convex risk measures. Zbl 1204.91120İlhan, Aytaç; Jonsson, Mattias; Sircar, Ronnie 2 2009 Portfolio optimization. Zbl 1185.91162Ilhan, Aytac; Jonsson, Mattias; Sircar, Ronnie 1 2009 Multiscale intensity models for single name credit derivatives. Zbl 1134.91456Papageorgiou, E.; Sircar, R. 7 2008 Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model. Zbl 1459.91201Perelló, Josep; Sircar, Ronnie; Masoliver, Jaume 7 2008 Credit derivatives and risk aversion. Zbl 1189.91209Leung, Tim; Sircar, Ronnie; Zariphopoulou, Thaleia 6 2008 A general framework for evaluating executive stock options. Zbl 1163.91423Sircar, Ronnie; Xiong, Wei 14 2007 Utility valuation of credit derivatives: single and two-name cases. Zbl 1154.91515Sircar, Ronnie; Zariphopoulou, Thaleia 3 2007 Stochastic volatility effects on defaultable bonds. Zbl 1142.91523Fouque, Jean-Pierre; Sircar, Ronnie; Sølna, Knut 25 2006 Optimal static-dynamic hedges for barrier options. Zbl 1145.91339İlhan, Aytaç; Sircar, Ronnie 11 2006 A limit theorem for financial markets with inert investors. Zbl 1276.91055Bayraktar, Erhan; Horst, Ulrich; Sircar, Ronnie 10 2006 Bounds and asymptotic approximations for utility prices when volatility is random. Zbl 1101.91049Sircar, Ronnie; Zariphopoulou, Thaleia 31 2005 Optimal investment with derivative securities. Zbl 1092.91018Ilhan, Aytaç; Jonsson, Mattias; Sircar, Ronnie 21 2005 Multiscale stochastic volatility asymptotics. Zbl 1074.91015Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; Solna, Knut 76 2004 Stochastic volatility corrections for interest rate derivatives. Zbl 1124.91331Cotton, Peter; Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie 22 2004 Maturity cycles in implied volatility. Zbl 1063.91066Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; Solna, Knut 16 2004 Singular perturbations for boundary value problems arising from exotic options. Zbl 1099.91062Ilhan, Aytac; Jonsson, Mattias; Sircar, Ronnie 14 2004 Singular perturbations in option pricing. Zbl 1039.91024Fouque, J.-P.; Papanicolaou, G.; Sircar, R.; Solna, K. 76 2003 Optimal investment problems and volatility homogenization approximations. Zbl 1104.91302Jonsson, Mattias; Sircar, Ronnie 25 2002 Stochastic volatility and epsilon-martingale decomposition. Zbl 1138.91441Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie 2 2001 Mean-reverting stochastic volatility. Zbl 1153.91497Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie 46 2000 Vibration of rectilinear plates on Vlasov’s foundation at large amplitude. Zbl 0588.73105Das, T.; Sircar, R. 1 1986 Fundamental frequency of vibration of a rectangular plate on a nonlinear elastic foundation. Zbl 0427.73045Sircar, R. 1 1980 Vibration of rectilinear plates on elastic foundation at large amplitude. Zbl 0294.73058Sircar, R. 1 1974 all cited Publications top 5 cited Publications all top 5 Cited by 834 Authors 33 Sircar, Ronnie 28 Kim, Jeong-Hoon 27 Fouque, Jean-Pierre 18 Leung, Tim 15 Lorig, Matthew J. 12 Yoon, Ji-Hun 11 Zariphopoulou, Thaleia 10 Wong, Hoi Ying 9 Lee, Min-Ku 8 Bayraktar, Erhan 8 Geraskin, Mikhail I. 7 Han, Chuan-Hsiang 7 Henderson, Vicky 7 Jaimungal, Sebastian 7 Pagliarani, Stefano 7 Papanicolaou, Andrew 7 Pascucci, Andrea 7 Saporito, Yuri F. 7 Spiliopoulos, Konstantinos V. 6 Carmona, René A. 6 Chang, Hao 6 Choi, Sun-Yong 6 Escobar, Marcos 6 Hu, Ruimeng 6 Laurière, Mathieu 6 Liang, Gechun 6 Sølna, Knut 6 Zagst, Rudi 5 Bichuch, Maxim 5 Garnier, Josselin 5 Huang, Minyi 5 Huh, Jeonggyu 5 Ma, Yong-Ki 5 Neykova, Daniela 5 Pun, Chi Seng 4 Alòs, Elisa 4 Campi, Luciano 4 Cao, Jiling 4 Chen, Wenting 4 Chen, Xinfu 4 Gulisashvili, Archil 4 Horst, Ulrich 4 Jacquier, Antoine 4 Jeon, Junkee 4 Ludkovski, Michael 4 Mishura, Yuliya Stepanivna 4 Park, Chang-Rae 4 Qin, Cong 4 Yang, Sung-Jin 4 Yu, Wanghui 4 Zeng, Yan 3 Anthropelos, Michail 3 Bardi, Martino 3 Bensoussan, Alain 3 Canhanga, Betuel 3 Cesaroni, Annalisa 3 Chang, Kai 3 Dayanıklı, Gökçe 3 Delong, Łukasz 3 Deng, Guohe 3 Fu, Guanxing 3 Fukasawa, Masaaki 3 Gao, Jianwei 3 Götz, Barbara 3 Grasselli, Matheus R. 3 Guyon, Julien 3 He, Xinjiang 3 Hobson, David Graham 3 Hu, Ying 3 Huang, Jianhui 3 Jeon, Jaegi 3 Kim, Hyun-Gyoon 3 Kumar, Rohini 3 Lai, Xin 3 Malyarenko, Anatoliy A. 3 Masoliver, Jaume 3 Perelló, Josep 3 Pham, Huyên 3 Robertson, Scott 3 Roome, Patrick 3 Silvestrov, Sergei D. 3 Stadje, Mitja 3 Sturm, Stephan 3 Takahashi, Akihiko 3 Vives, Josep 3 Wang, Bingchang 3 Yamazaki, Kazutoshi 3 Zhang, Sumei 3 Zhang, Wenjun 3 Zhu, Songping 3 Zubelli, Jorge P. 2 Agarwal, Ankush 2 Alghalith, Moawia 2 Alia, Ishak 2 Avanesyan, Levon 2 Bai, Yanfei 2 Ballestra, Luca Vincenzo 2 Bo, Lijun 2 Caginalp, Gunduz 2 Capponi, Agostino ...and 734 more Authors all top 5 Cited in 147 Serials 47 Quantitative Finance 46 SIAM Journal on Financial Mathematics 41 International Journal of Theoretical and Applied Finance 32 Mathematical Finance 24 Applied Mathematical Finance 20 Finance and Stochastics 19 SIAM Journal on Control and Optimization 17 Insurance Mathematics & Economics 13 Applied Mathematics and Optimization 11 Chaos, Solitons and Fractals 10 Journal of Computational and Applied Mathematics 10 Journal of Economic Dynamics & Control 9 European Journal of Operational Research 8 Stochastic Processes and their Applications 7 Applied Mathematics Letters 7 The Annals of Applied Probability 7 Mathematics and Financial Economics 6 Mathematics and Computers in Simulation 6 Mathematics of Operations Research 6 Automation and Remote Control 6 Annals of Finance 5 Journal of Mathematical Analysis and Applications 5 Physica A 5 Applied Mathematics and Computation 5 European Journal of Applied Mathematics 5 Communications in Statistics. Theory and Methods 5 Methodology and Computing in Applied Probability 5 Dynamic Games and Applications 4 Journal of Optimization Theory and Applications 4 Annals of Operations Research 4 Mathematical Problems in Engineering 4 Discrete Dynamics in Nature and Society 4 Journal of Systems Science and Complexity 4 Decisions in Economics and Finance 4 Journal of Applied Mathematics 4 Journal of Industrial and Management Optimization 3 Journal of Differential Equations 3 Journal of Econometrics 3 Statistics & Probability Letters 3 Operations Research Letters 3 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 3 Nonlinear Dynamics 3 Abstract and Applied Analysis 3 Probability in the Engineering and Informational Sciences 3 Applied Stochastic Models in Business and Industry 3 International Game Theory Review 3 The ANZIAM Journal 3 Asia-Pacific Financial Markets 3 Stochastics 3 International Journal of Stochastic Analysis 2 Theory of Probability and its Applications 2 Automatica 2 Journal of Applied Probability 2 Transactions of the American Mathematical Society 2 Stochastic Analysis and Applications 2 Optimization 2 Japan Journal of Industrial and Applied Mathematics 2 Applications of Mathematics 2 International Journal of Computer Mathematics 2 Journal de Mathématiques Pures et Appliquées. Neuvième Série 2 SIAM Journal on Scientific Computing 2 Theory of Probability and Mathematical Statistics 2 Computational and Applied Mathematics 2 NoDEA. Nonlinear Differential Equations and Applications 2 Complexity 2 Discrete and Continuous Dynamical Systems 2 Stochastic Models 2 Comptes Rendus. Mathématique. Académie des Sciences, Paris 2 Stochastics and Dynamics 2 North American Actuarial Journal 2 Journal of Statistical Mechanics: Theory and Experiment 2 Mathematical Control and Related Fields 2 Journal of Function Spaces 2 Modern Stochastics. Theory and Applications 1 Advances in Applied Probability 1 Computers & Mathematics with Applications 1 Journal of Engineering Mathematics 1 Journal of Economic Theory 1 Journal of Functional Analysis 1 Journal of the Korean Mathematical Society 1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 1 Operations Research 1 Systems & Control Letters 1 Applied Mathematics and Mechanics. (English Edition) 1 Acta Applicandae Mathematicae 1 Physica D 1 Applied Numerical Mathematics 1 Probability Theory and Related Fields 1 Journal of Economics 1 Numerical Methods for Partial Differential Equations 1 Journal of Theoretical Probability 1 Journal of Scientific Computing 1 Games and Economic Behavior 1 Communications in Partial Differential Equations 1 SIAM Journal on Applied Mathematics 1 SIAM Journal on Mathematical Analysis 1 SIAM Review 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Computational Statistics and Data Analysis 1 Mathematical Programming. Series A. Series B ...and 47 more Serials all top 5 Cited in 26 Fields 545 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 240 Probability theory and stochastic processes (60-XX) 96 Systems theory; control (93-XX) 69 Partial differential equations (35-XX) 58 Calculus of variations and optimal control; optimization (49-XX) 56 Statistics (62-XX) 36 Numerical analysis (65-XX) 34 Operations research, mathematical programming (90-XX) 14 Approximations and expansions (41-XX) 8 Ordinary differential equations (34-XX) 5 Mechanics of deformable solids (74-XX) 5 Statistical mechanics, structure of matter (82-XX) 4 Dynamical systems and ergodic theory (37-XX) 4 Integral transforms, operational calculus (44-XX) 3 Harmonic analysis on Euclidean spaces (42-XX) 3 Integral equations (45-XX) 2 Differential geometry (53-XX) 2 Computer science (68-XX) 2 Biology and other natural sciences (92-XX) 1 Combinatorics (05-XX) 1 Measure and integration (28-XX) 1 Difference and functional equations (39-XX) 1 Functional analysis (46-XX) 1 Operator theory (47-XX) 1 Convex and discrete geometry (52-XX) 1 Mechanics of particles and systems (70-XX) Citations by Year