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Probability, Uncertainty and Quantitative Risk (PUQR) aims to report significant developments in modern probability theory, its relation to stochastic analysis and statistics, stochastic processes, their dynamics and control, as well as applications in domains such as finance, economics, biology, computer science, and the corresponding data analysis.


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G-Lévy processes under sublinear expectations
Mingshang Hu and Shige Peng
2021, 6(1) : 1-22 doi: 10.3934/puqr.2021001 +[Abstract](110) +[HTML](30) +[PDF](850.7KB)
The term structure of sharpe ratios and arbitrage-free asset pricing in continuous time
Patrick Beißner and Emanuela Rosazza Gianin
2021, 6(1) : 23-52 doi: 10.3934/puqr.2021002 +[Abstract](103) +[HTML](116) +[PDF](1071.94KB)
Improved Hoeffding inequality for dependent bounded or sub-Gaussian random variables
Yuta Tanoue
2021, 6(1) : 53-60 doi: 10.3934/puqr.2021003 +[Abstract](73) +[HTML](34) +[PDF](290.81KB)
Stochastic ordering by g-expectations
Sel Ly and Nicolas Privault
2021, 6(1) : 61-98 doi: 10.3934/puqr.2021004 +[Abstract](71) +[HTML](65) +[PDF](1317.02KB)
The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
Stefan Weber and Kerstin Weske
2017, 2: 9 doi: 10.1186/s41546-017-0020-9 +[Abstract](210) +[HTML](98) +[PDF](1891.72KB) Cited By(19)
Stochastic global maximum principle for optimization with recursive utilities
Mingshang Hu
2017, 2: 1 doi: 10.1186/s41546-017-0014-7 +[Abstract](266) +[HTML](176) +[PDF](594.73KB) Cited By(16)
Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
Huyên Pham
2016, 1: 7 doi: 10.1186/s41546-016-0008-x +[Abstract](288) +[PDF](636.32KB) Cited By(14)
Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
Xun Li, Jingrui Sun and Jiongmin Yong
2016, 1: 2 doi: 10.1186/s41546-016-0002-3 +[Abstract](284) +[PDF](641.71KB) Cited By(13)
Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs
Ibrahim Ekren and Jianfeng Zhang
2016, 1: 6 doi: 10.1186/s41546-016-0010-3 +[Abstract](186) +[PDF](725.05KB) Cited By(12)
A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
Tomasz R. Bielecki, Igor Cialenco and Marcin Pitera
2017, 2: 3 doi: 10.1186/s41546-017-0012-9 +[Abstract](194) +[HTML](93) +[PDF](1368.54KB) Cited By(9)
Law of large numbers and central limit theorem under nonlinear expectations
Shige Peng
2019, 4: 4 doi: 10.1186/s41546-019-0038-2 +[Abstract](220) +[HTML](83) +[PDF](358.37KB) Cited By(8)
Arbitrage-free pricing of derivatives in nonlinear market models
Tomasz R. Bielecki, Igor Cialenco and Marek Rutkowski
2018, 3: 2 doi: 10.1186/s41546-018-0027-x +[Abstract](182) +[HTML](92) +[PDF](1028.49KB) Cited By(6)
Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle
Ludger Overbeck and Jasmin A. L. Röder
2018, 3: 4 doi: 10.1186/s41546-018-0030-2 +[Abstract](273) +[HTML](166) +[PDF](783.0KB) Cited By(5)
Backward-forward linear-quadratic mean-field games with major and minor agents
Jianhui Huang, Shujun Wang and Zhen Wu
2016, 1: 8 doi: 10.1186/s41546-016-0009-9 +[Abstract](273) +[PDF](593.73KB) Cited By(5)
Uncertainty and filtering of hidden Markov models in discrete time
Samuel N. Cohen
2020, 5: 4 doi: 10.1186/s41546-020-00046-x +[Abstract](342) +[HTML](179) +[PDF](604.43KB) PDF Downloads(38)
Efficient hedging under ambiguity in continuous time
Ludovic Tangpi
2020, 5: 6 doi: 10.1186/s41546-020-00048-9 +[Abstract](308) +[HTML](166) +[PDF](454.83KB) PDF Downloads(36)
Improved Hoeffding inequality for dependent bounded or sub-Gaussian random variables
Yuta Tanoue
2021, 6(1) : 53-60 doi: 10.3934/puqr.2021003 +[Abstract](73) +[HTML](34) +[PDF](290.81KB) PDF Downloads(35)
Moderate deviation for maximum likelihood estimators from single server queues
Saroja Kumar Singh
2020, 5: 2 doi: 10.1186/s41546-020-00044-z +[Abstract](304) +[HTML](172) +[PDF](335.83KB) PDF Downloads(27)
Upper risk bounds in internal factor models with constrained specification sets
Jonathan Ansari and Ludger Rüschendorf
2020, 5: 3 doi: 10.1186/s41546-020-00045-y +[Abstract](271) +[HTML](169) +[PDF](926.7KB) PDF Downloads(24)
Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting
Dmytro Marushkevych and Alexandre Popier
2020, 5: 1 doi: 10.1186/s41546-020-0043-5 +[Abstract](294) +[HTML](182) +[PDF](526.71KB) PDF Downloads(21)
A brief history of quantitative finance
Mauro Cesa
2017, 2: 6 doi: 10.1186/s41546-017-0018-3 +[Abstract](293) +[HTML](165) +[PDF](599.16KB) PDF Downloads(19)
Convergence of the deep BSDE method for coupled FBSDEs
Jiequn Han and Jihao Long
2020, 5: 5 doi: 10.1186/s41546-020-00047-w +[Abstract](301) +[HTML](174) +[PDF](734.36KB) PDF Downloads(19)
G-Lévy processes under sublinear expectations
Mingshang Hu and Shige Peng
2021, 6(1) : 1-22 doi: 10.3934/puqr.2021001 +[Abstract](110) +[HTML](30) +[PDF](850.7KB) PDF Downloads(18)
Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs
Ying Hu and Shanjian Tang
2019, 4: 1 doi: 10.1186/s41546-018-0035-x +[Abstract](274) +[HTML](150) +[PDF](498.32KB) PDF Downloads(15)

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