Edit Profile (opens in new tab) Privault, Nicolas Compute Distance To: Compute Author ID: privault.nicolas Published as: Privault, Nicolas; Privault, N. Homepage: https://personal.ntu.edu.sg/nprivault/ External Links: MGP · ORCID · arXiv · MathOverflow · dblp · IdRef · theses.fr Documents Indexed: 168 Publications since 1993, including 8 Books 1 Contribution as Editor Reviewing Activity: 174 Reviews Co-Authors: 57 Co-Authors with 93 Joint Publications 1,485 Co-Co-Authors all top 5 Co-Authors 76 single-authored 9 Breton, Jean-Christophe 6 Torrisi, Giovanni Luca 5 Zambrini, Jean-Claude 4 Franz, Uwe 4 Houdré, Christian 4 López-Mimbela, José Alfredo 4 Réveillac, Anthony 4 Serafin, Grzegorz 3 Flint, Ian 3 Liu, Yue 3 Ma, Yutao 3 She, Qihao 3 Wei, Xiao 2 Arnaudon, Marc 2 El-Khatib, Youssef 2 Joulin, Aldéric 2 Kızıldemir, Bünyamin 2 Laquerrière, Benjamin 2 Nguwi, Jiang Yu 2 Pintoux, Caroline 2 Polak, Ido 2 Schott, René 2 Yang, Dichuan 2 Yang, Xiangfeng 1 Aase, Knut Kristian 1 Alvarez, Abner 1 David, Delphine 1 Gao, Fuqing 1 Guindon, Stéphane 1 Jeanblanc, Monique 1 Klein, Thierry E. 1 Kohatsu-Higa, Arturo 1 Lee, Yuhjia 1 Lim, Nengli 1 Loisel, Stéphane 1 Ly, Sel 1 Mensi, Mounir 1 Nguyen, Tien Dung 1 Øksendal, Bernt Karsten 1 Ouerdiane, Habib 1 Penent, Guillaume 1 Prat, Jean-Jacques 1 Prayoga, Adrian 1 Schoutens, Wim 1 Shih, Hsin-Hung 1 Solé, Josep Lluís 1 Teng, Timothy Robin Y. 1 Teoh, Timothy 1 Tudor, Ciprian A. 1 Ubøe, Jan 1 Uy, Wayne Isaac Tan 1 Vives, Josep 1 Wang, Liang 1 Wu, Hailing 1 Wu, Jianglun 1 Yam, Sheung Chi Phillip 1 Zhang, Xicheng all top 5 Serials 8 Potential Analysis 7 Comptes Rendus de l’Académie des Sciences. Série I 7 Comptes Rendus. Mathématique. Académie des Sciences, Paris 6 Statistics & Probability Letters 5 Journal of Functional Analysis 5 Electronic Journal of Probability 4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 4 Infinite Dimensional Analysis, Quantum Probability and Related Topics 4 Stochastics 3 Journal of Mathematical Analysis and Applications 3 Journal of Applied Probability 3 Stochastic Processes and their Applications 3 Stochastics and Stochastics Reports 3 Bernoulli 3 Comptes Rendus de l’Académie des Sciences. Série I. Mathématique 3 Methodology and Computing in Applied Probability 3 Advanced Series on Statistical Science & Applied Probability 3 Communications on Stochastic Analysis 2 Journal of Mathematical Physics 2 Probability and Mathematical Statistics 2 Stochastic Analysis and Applications 2 Probability Theory and Related Fields 2 Journal of Theoretical Probability 2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 2 Random Operators and Stochastic Equations 2 Electronic Communications in Probability 2 Finance and Stochastics 2 International Journal of Theoretical and Applied Finance 2 Quantitative Finance 2 ALEA. Latin American Journal of Probability and Mathematical Statistics 2 Springer Undergraduate Mathematics Series 1 Advances in Applied Probability 1 Biological Cybernetics 1 Journal of Mathematical Biology 1 Revue Roumaine de Mathématiques Pures et Appliquées 1 Theory of Probability and its Applications 1 The Annals of Probability 1 The Annals of Statistics 1 Applied Mathematics and Optimization 1 Journal of Computational and Applied Mathematics 1 SIAM Journal on Control and Optimization 1 Insurance Mathematics & Economics 1 Acta Applicandae Mathematicae 1 Applied Mathematics Letters 1 Publicacions Matemàtiques 1 MCSS. Mathematics of Control, Signals, and Systems 1 SIAM Journal on Mathematical Analysis 1 Journal of Nonlinear Science 1 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI 1 Applicationes Mathematicae 1 Annales Mathématiques Blaise Pascal 1 The Electronic Journal of Combinatorics 1 Bulletin des Sciences Mathématiques 1 Mathematical Finance 1 Markov Processes and Related Fields 1 Taiwanese Journal of Mathematics 1 Analysis (München) 1 Statistical Inference for Stochastic Processes 1 Acta Mathematica Sinica. English Series 1 Theory of Stochastic Processes 1 Stochastics and Dynamics 1 ASTIN Bulletin 1 Asia-Pacific Financial Markets 1 Analysis and Applications (Singapore) 1 Journal of Industrial and Management Optimization 1 Cambridge Tracts in Mathematics 1 Lecture Notes in Mathematics 1 Progress in Probability 1 Risk and Decision Analysis 1 Differential Equations and Applications 1 Probability Surveys 1 Stochastic and Partial Differential Equations. Analysis and Computations 1 Chapman & Hall/CRC Financial Mathematics Series 1 Probability, Uncertainty and Quantitative Risk all top 5 Fields 158 Probability theory and stochastic processes (60-XX) 32 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 15 Statistics (62-XX) 13 Quantum theory (81-XX) 12 Partial differential equations (35-XX) 11 Global analysis, analysis on manifolds (58-XX) 7 Measure and integration (28-XX) 7 Numerical analysis (65-XX) 6 Functional analysis (46-XX) 6 Systems theory; control (93-XX) 5 Combinatorics (05-XX) 5 Operator theory (47-XX) 4 Topological groups, Lie groups (22-XX) 4 Dynamical systems and ergodic theory (37-XX) 3 Special functions (33-XX) 3 Difference and functional equations (39-XX) 3 Biology and other natural sciences (92-XX) 2 Number theory (11-XX) 2 Integral transforms, operational calculus (44-XX) 2 Integral equations (45-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 General and overarching topics; collections (00-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Nonassociative rings and algebras (17-XX) 1 Functions of a complex variable (30-XX) 1 Potential theory (31-XX) 1 Ordinary differential equations (34-XX) 1 Abstract harmonic analysis (43-XX) 1 Differential geometry (53-XX) 1 Mechanics of particles and systems (70-XX) 1 Operations research, mathematical programming (90-XX) 1 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 122 Publications have been cited 628 times in 400 Documents Cited by ▼ Year ▼ Stochastic analysis in discrete and continuous settings. With normal martingales. Zbl 1185.60005Privault, Nicolas 52 2009 White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance. Zbl 0963.60065Aase, Knut; Øksendal, Bernt; Privault, Nicolas; Ubøe, Jan 52 2000 Stochastic analysis of Bernoulli processes. Zbl 1189.60089Privault, Nicolas 29 2008 Chaotic and variational calculus in discrete and continuous time for the Poisson process. Zbl 0851.60052Privault, Nicolas 27 1994 Computations of Greeks in a market with jumps via the Malliavin calculus. Zbl 1098.91050El-Khatib, Youssef; Privault, Nicolas 26 2004 Convex concentration inequalities and forward-backward stochastic calculus. Zbl 1112.60034Klein, Thierry; Ma, Yutao; Privault, Nicolas 16 2006 Concentration and deviation inequalities in infinite dimensions via covariance representations. Zbl 1012.60020Houdré, Christian; Privault, Nicolas 15 2002 Markovian bridges and reversible diffusion processes with jumps. Zbl 1060.60075Privault, Nicolas; Zambrini, Jean-Claude 14 2004 Stein estimation for the drift of Gaussian processes using the Malliavin calculus. Zbl 1274.62256Privault, Nicolas; Réveillac, Anthony 14 2008 A transfer principle from Wiener to Poisson space and applications. Zbl 0847.60035Privault, Nicolas 13 1995 Gaussian estimates for the solutions of some one-dimensional stochastic equations. Zbl 1321.60127Nguyen, Tien Dung; Privault, Nicolas; Torrisi, Giovanni Luca 12 2015 Invariance of Poisson measures under random transformations. Zbl 1278.60084Privault, Nicolas 11 2012 Generalized Bell polynomials and the combinatorics of Poisson central moments. Zbl 1215.11017Privault, Nicolas 11 2011 Explicit stochastic analysis of Brownian motion and point measures on Riemannian manifolds. Zbl 0940.58023Prat, Jean-Jacques; Privault, Nicolas 10 1999 Connections and curvature in the Riemannian geometry of configuration spaces. Zbl 1036.58031Privault, Nicolas 10 2001 Moments of Poisson stochastic integrals with random integrands. Zbl 1268.60069Privault, Nicolas 9 2012 Moment identities for Poisson-Skorohod integrals and application to measure invariance. Zbl 1179.60035Privault, Nicolas 9 2009 The Stein and Chen-Stein methods for functionals of non-symmetric Bernoulli processes. Zbl 1329.60079Privault, Nicolas; Torrisi, Giovanni Luca 9 2015 The Dothan pricing model revisited. Zbl 1214.91122Pintoux, Caroline; Privault, Nicolas 8 2011 A Malliavin calculus approach to sensitivity analysis in insurance. Zbl 1122.91044Privault, Nicolas; Wei, Xiao 8 2004 Moment identities for Skorohod integrals on the Wiener space and applications. Zbl 1189.60113Privault, Nicolas 7 2009 Equivalence of gradients on configuration spaces. Zbl 0955.60068Privault, Nicolas 7 1999 Chaotic Kabanov formula for the Azéma martingales. Zbl 1023.60046Privault, Nicolas; Solé, Josep Lluís; Vives, Josep 7 2000 Girsanov theorem for anticipative shifts on Poisson space. Zbl 0838.60038Privault, N. 7 1996 Stochastic finance. An introduction with market examples. Zbl 1294.91003Privault, Nicolas 7 2014 Convex ordering for random vectors using predictable representation. Zbl 1151.60007Arnaudon, Marc; Breton, Jean-Christophe; Privault, Nicolas 7 2008 A direct solution to the Fokker-Planck equation for exponential Brownian functionals. Zbl 1206.60061Pintoux, Caroline; Privault, Nicolas 7 2010 Understanding Markov chains. Examples and applications. Zbl 1305.60003Privault, Nicolas 6 2013 A different quantum stochastic calculus for the Poisson process. Zbl 0849.60056Privault, Nicolas 6 1996 Stein estimation of Poisson process intensities. Zbl 1205.62123Privault, Nicolas; Réveillac, Anthony 5 2009 Density estimation of functionals of spatial point processes with application to wireless networks. Zbl 1226.62035Privault, Nicolas; Torrisi, Giovanni Luca 5 2011 Stochastic variational calculus for the uniform density measure. (Calcul des variations stochastique pour la mesure de densité uniforme.) Zbl 0894.60047Privault, Nicolas 5 1997 Absolute continuity in infinite dimensions and anticipating stochastic calculus. Zbl 0910.60043Privault, Nicolas 5 1998 Linear Skorohod stochastic differential equations on Poisson space. Zbl 0847.60046Privault, Nicolas 5 1996 Factorial moments of point processes. Zbl 1296.60126Breton, Jean-Christophe; Privault, Nicolas 5 2014 A complete market model with Poisson and Brownian components. Zbl 1061.91029Jeanblanc, M.; Privault, N. 5 2002 Selling at the ultimate maximum in a regime-switching model. Zbl 1396.91750Liu, Yue; Privault, Nicolas 4 2017 Probability approximation by Clark-Ocone covariance representation. Zbl 1308.60069Privault, Nicolas; Torrisi, Giovanni Luca 4 2013 Laplace transform identities and measure-preserving transformations on the Lie-Wiener-Poisson spaces. Zbl 1262.60051Privault, Nicolas 4 2012 Skorohod stochastic integration with respect to non-adapted processes on Wiener space. Zbl 0918.60038Privault, Nicolas 4 1998 Independence of a class of multiple stochastic integrals. Zbl 0937.60049Privault, Nicolas 4 1999 Poisson stochastic integration in Hilbert spaces. Zbl 1158.60351Privault, Nicolas; Wu, Jiang-Lun 4 1999 Cumulant operators for Lie-Wiener-Itô-Poisson stochastic integrals. Zbl 1330.60069Privault, Nicolas 4 2015 Understanding Markov chains. Examples and applications. 2nd edition. Zbl 1458.60002Privault, Nicolas 4 2018 Stein approximation for functionals of independent random sequences. Zbl 1390.60093Privault, Nicolas; Serafin, Grzegorz 4 2018 Monte Carlo computation of the Laplace transform of exponential Brownian functionals. Zbl 1275.65090Privault, Nicolas; Uy, Wayne Isaac 3 2013 Random Hermite polynomials and Girsanov identities on the Wiener space. Zbl 1210.60057Privault, Nicolas 3 2010 Sensitivity analysis and density estimation for finite-time ruin probabilities. Zbl 1169.91018Loisel, Stéphane; Privault, Nicolas 3 2009 Bounds on option prices in point process diffusion models. Zbl 1232.91648Breton, Jean-Christophe; Privault, Nicolas 3 2008 A pointwise equivalence of gradients on configuration spaces. Zbl 0980.60074Privault, Nicolas 3 1998 Discrete chaotic calculus and covariance identities. Zbl 1007.60047Privault, Nicolas; Schoutens, Wim 3 2002 Blow-up and stability of semilinear PDEs with gamma generators. Zbl 1112.35042López-Mimbela, José Alfredo; Privault, Nicolas 3 2005 A calculus on Fock space and its probabilistic interpretations. Zbl 0924.60033Privault, Nicolas 3 1999 Dimension free and infinite variance tail estimates on Poisson space. Zbl 1123.60020Breton, Jean-Christophe; Houdré, Christian; Privault, Nicolas 3 2007 Convex comparison inequalities for non-Markovian stochastic integrals. Zbl 1296.60138Breton, Jean-Christophe; Laquerrière, Benjamin; Privault, Nicolas 3 2013 Stochastic deformation of integrable dynamical systems and random time symmetry. Zbl 1312.70010Privault, Nicolas; Zambrini, Jean-Claude 3 2010 Stein approximation for Itô and Skorohod integrals by Edgeworth type expansions. Zbl 1321.60118Privault, Nicolas 3 2015 Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model. Zbl 1390.91307Privault, Nicolas; She, Qihao 3 2016 Hedging in complete markets driven by normal martingales. Zbl 1173.91364El-Khatib, Youssef; Privault, Nicolas 3 2003 Cumulant operators and moments of the Itô and Skorohod integrals. (Opérateurs cumulants et moments des intégrales d’Itô et de Skorohod.) Zbl 1278.60088Privault, Nicolas 3 2013 Convex concentration for some additive functionals of jump stochastic differential equations. Zbl 1277.28004Ma, Yutao; Privault, Nicolas 3 2013 Normal approximation for sums of weighted \(U\)-statistics – application to Kolmogorov bounds in random subgraph counting. Zbl 1464.60021Privault, Nicolas; Serafin, Grzegorz 3 2020 A stochastic newsvendor game with dynamic retail prices. Zbl 1412.91003Polak, Ido; Privault, Nicolas 3 2018 Large deviations for Bernstein bridges. Zbl 1335.60029Privault, Nicolas; Yang, Xiangfeng; Zambrini, Jean-Claude 2 2016 Quasi-invariance formulas for components of quantum Lévy processes. Zbl 1056.81052Franz, Uwe; Privault, Nicolas 2 2004 Asymptotic estimates for white noise distributions. Zbl 1044.60075Ouerdiane, Habib; Privault, Nicolas 2 2004 Splitting of Poisson noise and Lévy processes on real Lie algebras. Zbl 1059.81103Privault, Nicolas 2 2002 Meyer inequalities on Poisson space. (Inégalités de Meyer sur l’espace de Poisson.) Zbl 0798.60058Privault, Nicolas 2 1994 Isoperimetric and related bounds on configuration spaces. Zbl 1283.60078Houdré, Christian; Privault, Nicolas 2 2008 An elementary introduction to stochastic interest rate modeling. Zbl 1213.91003Privault, Nicolas 2 2008 Superefficient drift estimation on the Wiener space. Zbl 1101.62067Privault, Nicolas; Réveillac, Anthony 2 2006 Distribution-valued iterated gradient and chaotic decompositions of Poisson jump times functionals. Zbl 1007.60089Privault, Nicolas 2 2002 The Sard inequality on two non-Gaussian spaces. Zbl 0901.60008Privault, Nicolas 2 1998 Extended covariance identities and inequalities. Zbl 1078.60032Privault, Nicolas 2 2001 Functional inequalities for discrete gradients and application to the geometric distribution. Zbl 1147.60306Joulin, Aldéric; Privault, Nicolas 2 2004 Euclidean quantum mechanics in the momentum representation. Zbl 1076.81030Privault, Nicolas; Zambrini, Jean-Claude 2 2005 A new non-commutative representation of the Brownian motion and of the Poisson process. (Une nouvelle représentation non-commutative du mouvement brownien et du processus de Poisson.) Zbl 0849.60079Privault, Nicolas 2 1996 On the independence of multiple stochastic integrals with respect to a class of martingales. Zbl 0860.60034Privault, Nicolas 2 1996 Calculus on Fock space and a non-adapted quantum Itô formula. Zbl 0865.60052Privault, Nicolas 2 1996 Multiple stochastic integral expansions of arbitrary Poisson jump times functionals. Zbl 0938.60077Privault, Nicolas 2 1999 Quantum stochastic calculus for the uniform measure and Boolean convolution. Zbl 0981.81044Privault, Nicolas 2 2001 Supermodular ordering of Poisson arrays. Zbl 1321.60029Kızıldemir, Bünyamin; Privault, Nicolas 2 2015 Measure invariance on the Lie-Wiener path space. Zbl 1317.60067Privault, Nicolas 2 2012 Infinite divisibility of interpolated gamma powers. Zbl 1306.60004Privault, Nicolas; Yang, Dichuan 2 2013 Blowup estimates for a family of semilinear SPDEs with time-dependent coefficients. Zbl 1328.60144Alvarez, Abner; López-Mimbela, José Alfredo; Privault, Nicolas 2 2015 Integrability and regularity of the flow of stochastic differential equations with jumps. Zbl 1437.60031Breton, J.-Ch.; Privault, N. 2 2020 An elementary introduction to stochastic interest rate modeling. 2nd ed. Zbl 1248.91002Privault, Nicolas 2 2012 Girsanov identities for Poisson measures under quasi-nilpotent transformations. Zbl 1248.60056Privault, Nicolas 2 2012 Nonstationary shot noise modeling of neuron membrane potentials by closed-form moments and Gram-Charlier expansions. Zbl 1454.92008Privault, Nicolas 2 2020 A recursive algorithm for selling at the ultimate maximum in regime-switching models. Zbl 1387.93188Liu, Yue; Privault, Nicolas 2 2018 Stein normal approximation for multidimensional Poisson random measures by third cumulant expansions. Zbl 1404.60075Privault, Nicolas 2 2018 Non-Gaussian Malliavin calculus on real Lie algebras. Zbl 1064.60125Franz, Uwe; Privault, Nicolas; Schott, René 1 2005 Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals. Zbl 1357.60086Privault, Nicolas; Wu, Hailing 1 2015 SURE shrinkage of Gaussian paths and signal identification. Zbl 1261.93078Privault, Nicolas; Réveillac, Anthony 1 2011 Numerical computation of theta in a jump-diffusion model by integration by parts. Zbl 1175.91176David, Delphine; Privault, Nicolas 1 2009 Weitzenböck and Clark-Ocone decompositions for differential forms on the space of normal martingales. Zbl 1367.60063Privault, Nicolas 1 2016 FKG inequality on the Wiener space via predictable representation. Zbl 1135.60037Ma, Yutao; Privault, Nicolas 1 2007 Integration by parts for point processes and Monte Carlo estimation. Zbl 1128.62044Privault, Nicolas; Wei, Xiao 1 2007 Potential theory in classical probability. Zbl 1167.60018Privault, Nicolas 1 2008 Stochastic analysis with financial applications, Hong Kong 2009. Proceedings of the workshop, Hong Kong, China, June 29 to July 3, 2009. Zbl 1222.60008 1 2011 Stochastic SIR Lévy jump model with heavy-tailed increments. Zbl 1470.92338Privault, Nicolas; Wang, Liang 1 2021 Normal approximation for sums of weighted \(U\)-statistics – application to Kolmogorov bounds in random subgraph counting. Zbl 1464.60021Privault, Nicolas; Serafin, Grzegorz 3 2020 Integrability and regularity of the flow of stochastic differential equations with jumps. Zbl 1437.60031Breton, J.-Ch.; Privault, N. 2 2020 Nonstationary shot noise modeling of neuron membrane potentials by closed-form moments and Gram-Charlier expansions. Zbl 1454.92008Privault, Nicolas 2 2020 Third cumulant Stein approximation for Poisson stochastic integrals. Zbl 1451.60055Privault, Nicolas 1 2019 Functional inequalities for marked point processes. Zbl 1430.60046Flint, Ian; Privault, Nicolas; Torrisi, Giovanni Luca 1 2019 Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates. Zbl 1479.60108Privault, N.; Yam, S. C. P.; Zhang, Z. 1 2019 Understanding Markov chains. Examples and applications. 2nd edition. Zbl 1458.60002Privault, Nicolas 4 2018 Stein approximation for functionals of independent random sequences. Zbl 1390.60093Privault, Nicolas; Serafin, Grzegorz 4 2018 A stochastic newsvendor game with dynamic retail prices. Zbl 1412.91003Polak, Ido; Privault, Nicolas 3 2018 A recursive algorithm for selling at the ultimate maximum in regime-switching models. Zbl 1387.93188Liu, Yue; Privault, Nicolas 2 2018 Stein normal approximation for multidimensional Poisson random measures by third cumulant expansions. Zbl 1404.60075Privault, Nicolas 2 2018 Selling at the ultimate maximum in a regime-switching model. Zbl 1396.91750Liu, Yue; Privault, Nicolas 4 2017 Pricing CIR yield options by conditional moment matching. Zbl 1418.91534Prayoga, Adrian; Privault, Nicolas 1 2017 Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model. Zbl 1390.91307Privault, Nicolas; She, Qihao 3 2016 Large deviations for Bernstein bridges. Zbl 1335.60029Privault, Nicolas; Yang, Xiangfeng; Zambrini, Jean-Claude 2 2016 Weitzenböck and Clark-Ocone decompositions for differential forms on the space of normal martingales. Zbl 1367.60063Privault, Nicolas 1 2016 De Rham-Hodge decomposition and vanishing of harmonic forms by derivation operators on the Poisson space. Zbl 1342.60084Privault, Nicolas 1 2016 Gaussian estimates for the solutions of some one-dimensional stochastic equations. Zbl 1321.60127Nguyen, Tien Dung; Privault, Nicolas; Torrisi, Giovanni Luca 12 2015 The Stein and Chen-Stein methods for functionals of non-symmetric Bernoulli processes. Zbl 1329.60079Privault, Nicolas; Torrisi, Giovanni Luca 9 2015 Cumulant operators for Lie-Wiener-Itô-Poisson stochastic integrals. Zbl 1330.60069Privault, Nicolas 4 2015 Stein approximation for Itô and Skorohod integrals by Edgeworth type expansions. Zbl 1321.60118Privault, Nicolas 3 2015 Supermodular ordering of Poisson arrays. Zbl 1321.60029Kızıldemir, Bünyamin; Privault, Nicolas 2 2015 Blowup estimates for a family of semilinear SPDEs with time-dependent coefficients. Zbl 1328.60144Alvarez, Abner; López-Mimbela, José Alfredo; Privault, Nicolas 2 2015 Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals. Zbl 1357.60086Privault, Nicolas; Wu, Hailing 1 2015 Laplace transform identities for the volume of stopping sets based on Poisson point processes. Zbl 1366.60075Privault, Nicolas 1 2015 Conditionally Gaussian stochastic integrals. (Intégrales stochastiques conditionnellement gaussiennes.) Zbl 1335.60083Privault, Nicolas; She, Qihao 1 2015 Stochastic finance. An introduction with market examples. Zbl 1294.91003Privault, Nicolas 7 2014 Factorial moments of point processes. Zbl 1296.60126Breton, Jean-Christophe; Privault, Nicolas 5 2014 Understanding Markov chains. Examples and applications. Zbl 1305.60003Privault, Nicolas 6 2013 Probability approximation by Clark-Ocone covariance representation. Zbl 1308.60069Privault, Nicolas; Torrisi, Giovanni Luca 4 2013 Monte Carlo computation of the Laplace transform of exponential Brownian functionals. Zbl 1275.65090Privault, Nicolas; Uy, Wayne Isaac 3 2013 Convex comparison inequalities for non-Markovian stochastic integrals. Zbl 1296.60138Breton, Jean-Christophe; Laquerrière, Benjamin; Privault, Nicolas 3 2013 Cumulant operators and moments of the Itô and Skorohod integrals. (Opérateurs cumulants et moments des intégrales d’Itô et de Skorohod.) Zbl 1278.60088Privault, Nicolas 3 2013 Convex concentration for some additive functionals of jump stochastic differential equations. Zbl 1277.28004Ma, Yutao; Privault, Nicolas 3 2013 Infinite divisibility of interpolated gamma powers. Zbl 1306.60004Privault, Nicolas; Yang, Dichuan 2 2013 Invariance of Poisson measures under random transformations. Zbl 1278.60084Privault, Nicolas 11 2012 Moments of Poisson stochastic integrals with random integrands. Zbl 1268.60069Privault, Nicolas 9 2012 Laplace transform identities and measure-preserving transformations on the Lie-Wiener-Poisson spaces. Zbl 1262.60051Privault, Nicolas 4 2012 Measure invariance on the Lie-Wiener path space. Zbl 1317.60067Privault, Nicolas 2 2012 An elementary introduction to stochastic interest rate modeling. 2nd ed. Zbl 1248.91002Privault, Nicolas 2 2012 Girsanov identities for Poisson measures under quasi-nilpotent transformations. Zbl 1248.60056Privault, Nicolas 2 2012 Generalized Bell polynomials and the combinatorics of Poisson central moments. Zbl 1215.11017Privault, Nicolas 11 2011 The Dothan pricing model revisited. Zbl 1214.91122Pintoux, Caroline; Privault, Nicolas 8 2011 Density estimation of functionals of spatial point processes with application to wireless networks. Zbl 1226.62035Privault, Nicolas; Torrisi, Giovanni Luca 5 2011 SURE shrinkage of Gaussian paths and signal identification. Zbl 1261.93078Privault, Nicolas; Réveillac, Anthony 1 2011 Stochastic analysis with financial applications, Hong Kong 2009. Proceedings of the workshop, Hong Kong, China, June 29 to July 3, 2009. Zbl 1222.60008 1 2011 A direct solution to the Fokker-Planck equation for exponential Brownian functionals. Zbl 1206.60061Pintoux, Caroline; Privault, Nicolas 7 2010 Random Hermite polynomials and Girsanov identities on the Wiener space. Zbl 1210.60057Privault, Nicolas 3 2010 Stochastic deformation of integrable dynamical systems and random time symmetry. Zbl 1312.70010Privault, Nicolas; Zambrini, Jean-Claude 3 2010 Stochastic analysis in discrete and continuous settings. With normal martingales. Zbl 1185.60005Privault, Nicolas 52 2009 Moment identities for Poisson-Skorohod integrals and application to measure invariance. Zbl 1179.60035Privault, Nicolas 9 2009 Moment identities for Skorohod integrals on the Wiener space and applications. Zbl 1189.60113Privault, Nicolas 7 2009 Stein estimation of Poisson process intensities. Zbl 1205.62123Privault, Nicolas; Réveillac, Anthony 5 2009 Sensitivity analysis and density estimation for finite-time ruin probabilities. Zbl 1169.91018Loisel, Stéphane; Privault, Nicolas 3 2009 Numerical computation of theta in a jump-diffusion model by integration by parts. Zbl 1175.91176David, Delphine; Privault, Nicolas 1 2009 Stochastic analysis of Bernoulli processes. Zbl 1189.60089Privault, Nicolas 29 2008 Stein estimation for the drift of Gaussian processes using the Malliavin calculus. Zbl 1274.62256Privault, Nicolas; Réveillac, Anthony 14 2008 Convex ordering for random vectors using predictable representation. Zbl 1151.60007Arnaudon, Marc; Breton, Jean-Christophe; Privault, Nicolas 7 2008 Bounds on option prices in point process diffusion models. Zbl 1232.91648Breton, Jean-Christophe; Privault, Nicolas 3 2008 Isoperimetric and related bounds on configuration spaces. Zbl 1283.60078Houdré, Christian; Privault, Nicolas 2 2008 An elementary introduction to stochastic interest rate modeling. Zbl 1213.91003Privault, Nicolas 2 2008 Potential theory in classical probability. Zbl 1167.60018Privault, Nicolas 1 2008 Critical exponents for semilinear PDEs with bounded potentials. Zbl 1207.35053López-Mimbela, José Alfredo; Privault, Nicolas 1 2008 Dimension free and infinite variance tail estimates on Poisson space. Zbl 1123.60020Breton, Jean-Christophe; Houdré, Christian; Privault, Nicolas 3 2007 FKG inequality on the Wiener space via predictable representation. Zbl 1135.60037Ma, Yutao; Privault, Nicolas 1 2007 Integration by parts for point processes and Monte Carlo estimation. Zbl 1128.62044Privault, Nicolas; Wei, Xiao 1 2007 Convex comparison inequalities for exponential jump-diffusion processes. Zbl 1328.60190Breton, Jean-Christophe; Privault, Nicolas 1 2007 Convex concentration inequalities and forward-backward stochastic calculus. Zbl 1112.60034Klein, Thierry; Ma, Yutao; Privault, Nicolas 16 2006 Superefficient drift estimation on the Wiener space. Zbl 1101.62067Privault, Nicolas; Réveillac, Anthony 2 2006 Blow-up and stability of semilinear PDEs with gamma generators. Zbl 1112.35042López-Mimbela, José Alfredo; Privault, Nicolas 3 2005 Euclidean quantum mechanics in the momentum representation. Zbl 1076.81030Privault, Nicolas; Zambrini, Jean-Claude 2 2005 Non-Gaussian Malliavin calculus on real Lie algebras. Zbl 1064.60125Franz, Uwe; Privault, Nicolas; Schott, René 1 2005 Computations of Greeks in a market with jumps via the Malliavin calculus. Zbl 1098.91050El-Khatib, Youssef; Privault, Nicolas 26 2004 Markovian bridges and reversible diffusion processes with jumps. Zbl 1060.60075Privault, Nicolas; Zambrini, Jean-Claude 14 2004 A Malliavin calculus approach to sensitivity analysis in insurance. Zbl 1122.91044Privault, Nicolas; Wei, Xiao 8 2004 Quasi-invariance formulas for components of quantum Lévy processes. Zbl 1056.81052Franz, Uwe; Privault, Nicolas 2 2004 Asymptotic estimates for white noise distributions. Zbl 1044.60075Ouerdiane, Habib; Privault, Nicolas 2 2004 Functional inequalities for discrete gradients and application to the geometric distribution. Zbl 1147.60306Joulin, Aldéric; Privault, Nicolas 2 2004 Quantum stochastic calculus applied to path spaces over Lie groups. Zbl 1110.81124Privault, Nicolas 1 2004 Hedging in complete markets driven by normal martingales. Zbl 1173.91364El-Khatib, Youssef; Privault, Nicolas 3 2003 Conditional calculus on Poisson space and enlargement of filtration. Zbl 1027.60054Mensi, Mounir; Privault, Nicolas 1 2003 Clark formula and logarithmic Sobolev inequalities for Bernoulli measures. Zbl 1026.60021Gao, Fuqing; Privault, Nicolas 1 2003 Quasi-invariance for Lévy processes under anticipating shifts. Zbl 1029.60043Privault, Nicolas 1 2003 A concentration inequality on Riemannian path space. Zbl 1035.60030Houdré, Christian; Privault, Nicolas 1 2003 Concentration and deviation inequalities in infinite dimensions via covariance representations. Zbl 1012.60020Houdré, Christian; Privault, Nicolas 15 2002 A complete market model with Poisson and Brownian components. Zbl 1061.91029Jeanblanc, M.; Privault, N. 5 2002 Discrete chaotic calculus and covariance identities. Zbl 1007.60047Privault, Nicolas; Schoutens, Wim 3 2002 Splitting of Poisson noise and Lévy processes on real Lie algebras. Zbl 1059.81103Privault, Nicolas 2 2002 Distribution-valued iterated gradient and chaotic decompositions of Poisson jump times functionals. Zbl 1007.60089Privault, Nicolas 2 2002 Weitzenböck formulas on Poisson probability spaces. Zbl 1003.60092Privault, Nicolas 1 2002 Connections and curvature in the Riemannian geometry of configuration spaces. Zbl 1036.58031Privault, Nicolas 10 2001 Extended covariance identities and inequalities. Zbl 1078.60032Privault, Nicolas 2 2001 Quantum stochastic calculus for the uniform measure and Boolean convolution. Zbl 0981.81044Privault, Nicolas 2 2001 Variational calculus for a Lévy process based on a Lie group. Zbl 0978.60061Privault, N. 1 2001 A characterization of grand canonical Gibbs measures by duality. Zbl 0994.60057Privault, Nicolas 1 2001 White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance. Zbl 0963.60065Aase, Knut; Øksendal, Bernt; Privault, Nicolas; Ubøe, Jan 52 2000 Chaotic Kabanov formula for the Azéma martingales. Zbl 1023.60046Privault, Nicolas; Solé, Josep Lluís; Vives, Josep 7 2000 Connection, parallel transport, curvature and energy identities on spaces of configurations. Zbl 0964.60064Privault, Nicolas 1 2000 Skorokhod and pathwise stochastic calculus with respect to an \(L^2\) process. Zbl 0973.60062Privault, Nicolas; Tudor, Ciprian 1 2000 ...and 22 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 478 Authors 72 Privault, Nicolas 19 Wang, Caishi 18 Øksendal, Bernt Karsten 9 Albeverio, Sergio A. 9 Chen, Jinshu 8 Nguyen Tien Dung 8 Peccati, Giovanni 7 Decreusefond, Laurent 7 Ji, Un Cig 6 Breton, Jean-Christophe 5 Kawai, Reiichiro 5 Nguyen, Tien Dung 5 Serafin, Grzegorz 5 Tang, Yuling 5 Torrisi, Giovanni Luca 5 Zambrini, Jean-Claude 4 Agram, Nacira 4 Bouleau, Nicolas 4 Conforti, Giovanni 4 Daletskii, Alexei 4 Hu, Yaozhong 4 Kondrat’yev, Yuriĭ Grygorovych 4 López-Mimbela, José Alfredo 4 Ren, Suling 4 Réveillac, Anthony 4 Sulem, Agnès 4 Takeuchi, Atsushi 4 Tudor, Ciprian A. 3 Butov, Aleksandr Aleksandrovich 3 Di Nunno, Giulia 3 Domelevo, Komla 3 Dozzi, Marco E. 3 Draouil, Olfa 3 Eddahbi, M’hamed 3 Flint, Ian 3 Franz, Uwe 3 Han, Qi 3 Ishikawa, Yasushi 3 Joulin, Aldéric 3 Last, Günter 3 Léonard, Christian 3 Lim, Nengli 3 Liu, Yue 3 Loisel, Stéphane 3 Lytvynov, Eugene W. 3 Ma, Yutao 3 Nourdin, Ivan 3 Obata, Nobuaki 3 Yolcu Okur, Yeliz 3 Osswald, Horst 3 Ouerdiane, Habib 3 Petermichl, Stefanie 3 Proske, Frank Norbert 3 Rajeev, Bhaskaran 3 Reynaud-Bouret, Patricia 3 Roelly, Sylvie 3 Siu, Tak Kuen 3 Wu, Liming 3 Yam, Sheung Chi Phillip 2 Accardi, Luigi 2 Akahori, Jirô 2 Amaba, Takafumi 2 Arcozzi, Nicola 2 Arnaudon, Marc 2 Bally, Vlad 2 Bayazıt, Derviş 2 Bender, Christian 2 Benth, Fred Espen 2 Cass, Thomas Richard 2 Chaari, Sonia 2 Chafaï, Djalil 2 Chai, Huifang 2 Chen, Tingqiang 2 Cherif, Sidi Mohamed Lalaoui Ben 2 Cipriano, Fernanda 2 Coeurjolly, Jean-François 2 Corcino, Roberto Bagsarsa 2 De Vecchi, Francesco Carlo 2 Denis, Laurent 2 Durastanti, Claudio 2 El-Khatib, Youssef 2 Es-Sebaiy, Khalifa 2 Gao, Fuqing 2 Geiss, Christel 2 Hayashi, Masafumi 2 He, Jianmin 2 Jeanblanc, Monique 2 Kızıldemir, Bünyamin 2 Kolkovska, Ekaterina Todorova 2 Kovalenko, Anatoliĭ Aleksandrovich 2 Kuna, Tobias 2 Labart, Céline 2 Lee, Yuhjia 2 León, Jorge A. 2 Leonardi, Emilio 2 Løkka, Arne 2 Lu, Yanchun 2 Meyer-Brandis, Thilo 2 Morando, Paola 2 Nolder, Craig A. ...and 378 more Authors all top 5 Cited in 131 Serials 25 Stochastic Processes and their Applications 17 Journal of Functional Analysis 17 Infinite Dimensional Analysis, Quantum Probability and Related Topics 16 Stochastics 15 Statistics & Probability Letters 15 Stochastic Analysis and Applications 13 Journal of Mathematical Physics 13 Journal of Theoretical Probability 11 Probability Theory and Related Fields 11 Comptes Rendus. 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