## Privault, Nicolas

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 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
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### 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
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### 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
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### 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)

### 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 1185.60005
Privault, Nicolas
2009
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance. Zbl 0963.60065
Aase, Knut; Øksendal, Bernt; Privault, Nicolas; Ubøe, Jan
2000
Stochastic analysis of Bernoulli processes. Zbl 1189.60089
Privault, Nicolas
2008
Chaotic and variational calculus in discrete and continuous time for the Poisson process. Zbl 0851.60052
Privault, Nicolas
1994
Computations of Greeks in a market with jumps via the Malliavin calculus. Zbl 1098.91050
El-Khatib, Youssef; Privault, Nicolas
2004
Convex concentration inequalities and forward-backward stochastic calculus. Zbl 1112.60034
Klein, Thierry; Ma, Yutao; Privault, Nicolas
2006
Concentration and deviation inequalities in infinite dimensions via covariance representations. Zbl 1012.60020
Houdré, Christian; Privault, Nicolas
2002
Markovian bridges and reversible diffusion processes with jumps. Zbl 1060.60075
Privault, Nicolas; Zambrini, Jean-Claude
2004
Stein estimation for the drift of Gaussian processes using the Malliavin calculus. Zbl 1274.62256
Privault, Nicolas; Réveillac, Anthony
2008
A transfer principle from Wiener to Poisson space and applications. Zbl 0847.60035
Privault, Nicolas
1995
Gaussian estimates for the solutions of some one-dimensional stochastic equations. Zbl 1321.60127
Nguyen, Tien Dung; Privault, Nicolas; Torrisi, Giovanni Luca
2015
Invariance of Poisson measures under random transformations. Zbl 1278.60084
Privault, Nicolas
2012
Generalized Bell polynomials and the combinatorics of Poisson central moments. Zbl 1215.11017
Privault, Nicolas
2011
Explicit stochastic analysis of Brownian motion and point measures on Riemannian manifolds. Zbl 0940.58023
Prat, Jean-Jacques; Privault, Nicolas
1999
Connections and curvature in the Riemannian geometry of configuration spaces. Zbl 1036.58031
Privault, Nicolas
2001
Moments of Poisson stochastic integrals with random integrands. Zbl 1268.60069
Privault, Nicolas
2012
Moment identities for Poisson-Skorohod integrals and application to measure invariance. Zbl 1179.60035
Privault, Nicolas
2009
The Stein and Chen-Stein methods for functionals of non-symmetric Bernoulli processes. Zbl 1329.60079
Privault, Nicolas; Torrisi, Giovanni Luca
2015
The Dothan pricing model revisited. Zbl 1214.91122
Pintoux, Caroline; Privault, Nicolas
2011
A Malliavin calculus approach to sensitivity analysis in insurance. Zbl 1122.91044
Privault, Nicolas; Wei, Xiao
2004
Moment identities for Skorohod integrals on the Wiener space and applications. Zbl 1189.60113
Privault, Nicolas
2009
Equivalence of gradients on configuration spaces. Zbl 0955.60068
Privault, Nicolas
1999
Chaotic Kabanov formula for the Azéma martingales. Zbl 1023.60046
Privault, Nicolas; Solé, Josep Lluís; Vives, Josep
2000
Girsanov theorem for anticipative shifts on Poisson space. Zbl 0838.60038
Privault, N.
1996
Stochastic finance. An introduction with market examples. Zbl 1294.91003
Privault, Nicolas
2014
Convex ordering for random vectors using predictable representation. Zbl 1151.60007
Arnaudon, Marc; Breton, Jean-Christophe; Privault, Nicolas
2008
A direct solution to the Fokker-Planck equation for exponential Brownian functionals. Zbl 1206.60061
Pintoux, Caroline; Privault, Nicolas
2010
Understanding Markov chains. Examples and applications. Zbl 1305.60003
Privault, Nicolas
2013
A different quantum stochastic calculus for the Poisson process. Zbl 0849.60056
Privault, Nicolas
1996
Stein estimation of Poisson process intensities. Zbl 1205.62123
Privault, Nicolas; Réveillac, Anthony
2009
Density estimation of functionals of spatial point processes with application to wireless networks. Zbl 1226.62035
Privault, Nicolas; Torrisi, Giovanni Luca
2011
Stochastic variational calculus for the uniform density measure. (Calcul des variations stochastique pour la mesure de densité uniforme.) Zbl 0894.60047
Privault, Nicolas
1997
Absolute continuity in infinite dimensions and anticipating stochastic calculus. Zbl 0910.60043
Privault, Nicolas
1998
Linear Skorohod stochastic differential equations on Poisson space. Zbl 0847.60046
Privault, Nicolas
1996
Factorial moments of point processes. Zbl 1296.60126
Breton, Jean-Christophe; Privault, Nicolas
2014
A complete market model with Poisson and Brownian components. Zbl 1061.91029
Jeanblanc, M.; Privault, N.
2002
Selling at the ultimate maximum in a regime-switching model. Zbl 1396.91750
Liu, Yue; Privault, Nicolas
2017
Probability approximation by Clark-Ocone covariance representation. Zbl 1308.60069
Privault, Nicolas; Torrisi, Giovanni Luca
2013
Laplace transform identities and measure-preserving transformations on the Lie-Wiener-Poisson spaces. Zbl 1262.60051
Privault, Nicolas
2012
Skorohod stochastic integration with respect to non-adapted processes on Wiener space. Zbl 0918.60038
Privault, Nicolas
1998
Independence of a class of multiple stochastic integrals. Zbl 0937.60049
Privault, Nicolas
1999
Poisson stochastic integration in Hilbert spaces. Zbl 1158.60351
Privault, Nicolas; Wu, Jiang-Lun
1999
Cumulant operators for Lie-Wiener-Itô-Poisson stochastic integrals. Zbl 1330.60069
Privault, Nicolas
2015
Understanding Markov chains. Examples and applications. 2nd edition. Zbl 1458.60002
Privault, Nicolas
2018
Stein approximation for functionals of independent random sequences. Zbl 1390.60093
Privault, Nicolas; Serafin, Grzegorz
2018
Monte Carlo computation of the Laplace transform of exponential Brownian functionals. Zbl 1275.65090
Privault, Nicolas; Uy, Wayne Isaac
2013
Random Hermite polynomials and Girsanov identities on the Wiener space. Zbl 1210.60057
Privault, Nicolas
2010
Sensitivity analysis and density estimation for finite-time ruin probabilities. Zbl 1169.91018
Loisel, Stéphane; Privault, Nicolas
2009
Bounds on option prices in point process diffusion models. Zbl 1232.91648
Breton, Jean-Christophe; Privault, Nicolas
2008
A pointwise equivalence of gradients on configuration spaces. Zbl 0980.60074
Privault, Nicolas
1998
Discrete chaotic calculus and covariance identities. Zbl 1007.60047
Privault, Nicolas; Schoutens, Wim
2002
Blow-up and stability of semilinear PDEs with gamma generators. Zbl 1112.35042
López-Mimbela, José Alfredo; Privault, Nicolas
2005
A calculus on Fock space and its probabilistic interpretations. Zbl 0924.60033
Privault, Nicolas
1999
Dimension free and infinite variance tail estimates on Poisson space. Zbl 1123.60020
Breton, Jean-Christophe; Houdré, Christian; Privault, Nicolas
2007
Convex comparison inequalities for non-Markovian stochastic integrals. Zbl 1296.60138
Breton, Jean-Christophe; Laquerrière, Benjamin; Privault, Nicolas
2013
Stochastic deformation of integrable dynamical systems and random time symmetry. Zbl 1312.70010
Privault, Nicolas; Zambrini, Jean-Claude
2010
Stein approximation for Itô and Skorohod integrals by Edgeworth type expansions. Zbl 1321.60118
Privault, Nicolas
2015
Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model. Zbl 1390.91307
Privault, Nicolas; She, Qihao
2016
Hedging in complete markets driven by normal martingales. Zbl 1173.91364
El-Khatib, Youssef; Privault, Nicolas
2003
Cumulant operators and moments of the Itô and Skorohod integrals. (Opérateurs cumulants et moments des intégrales d’Itô et de Skorohod.) Zbl 1278.60088
Privault, Nicolas
2013
Convex concentration for some additive functionals of jump stochastic differential equations. Zbl 1277.28004
Ma, Yutao; Privault, Nicolas
2013
Normal approximation for sums of weighted $$U$$-statistics – application to Kolmogorov bounds in random subgraph counting. Zbl 1464.60021
Privault, Nicolas; Serafin, Grzegorz
2020
A stochastic newsvendor game with dynamic retail prices. Zbl 1412.91003
Polak, Ido; Privault, Nicolas
2018
Large deviations for Bernstein bridges. Zbl 1335.60029
Privault, Nicolas; Yang, Xiangfeng; Zambrini, Jean-Claude
2016
Quasi-invariance formulas for components of quantum Lévy processes. Zbl 1056.81052
Franz, Uwe; Privault, Nicolas
2004
Asymptotic estimates for white noise distributions. Zbl 1044.60075
Ouerdiane, Habib; Privault, Nicolas
2004
Splitting of Poisson noise and Lévy processes on real Lie algebras. Zbl 1059.81103
Privault, Nicolas
2002
Meyer inequalities on Poisson space. (Inégalités de Meyer sur l’espace de Poisson.) Zbl 0798.60058
Privault, Nicolas
1994
Isoperimetric and related bounds on configuration spaces. Zbl 1283.60078
Houdré, Christian; Privault, Nicolas
2008
An elementary introduction to stochastic interest rate modeling. Zbl 1213.91003
Privault, Nicolas
2008
Superefficient drift estimation on the Wiener space. Zbl 1101.62067
Privault, Nicolas; Réveillac, Anthony
2006
Distribution-valued iterated gradient and chaotic decompositions of Poisson jump times functionals. Zbl 1007.60089
Privault, Nicolas
2002
The Sard inequality on two non-Gaussian spaces. Zbl 0901.60008
Privault, Nicolas
1998
Extended covariance identities and inequalities. Zbl 1078.60032
Privault, Nicolas
2001
Functional inequalities for discrete gradients and application to the geometric distribution. Zbl 1147.60306
Joulin, Aldéric; Privault, Nicolas
2004
Euclidean quantum mechanics in the momentum representation. Zbl 1076.81030
Privault, Nicolas; Zambrini, Jean-Claude
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 0849.60079
Privault, Nicolas
1996
On the independence of multiple stochastic integrals with respect to a class of martingales. Zbl 0860.60034
Privault, Nicolas
1996
Calculus on Fock space and a non-adapted quantum Itô formula. Zbl 0865.60052
Privault, Nicolas
1996
Multiple stochastic integral expansions of arbitrary Poisson jump times functionals. Zbl 0938.60077
Privault, Nicolas
1999
Quantum stochastic calculus for the uniform measure and Boolean convolution. Zbl 0981.81044
Privault, Nicolas
2001
Supermodular ordering of Poisson arrays. Zbl 1321.60029
Kızıldemir, Bünyamin; Privault, Nicolas
2015
Measure invariance on the Lie-Wiener path space. Zbl 1317.60067
Privault, Nicolas
2012
Infinite divisibility of interpolated gamma powers. Zbl 1306.60004
Privault, Nicolas; Yang, Dichuan
2013
Blowup estimates for a family of semilinear SPDEs with time-dependent coefficients. Zbl 1328.60144
Alvarez, Abner; López-Mimbela, José Alfredo; Privault, Nicolas
2015
Integrability and regularity of the flow of stochastic differential equations with jumps. Zbl 1437.60031
Breton, J.-Ch.; Privault, N.
2020
An elementary introduction to stochastic interest rate modeling. 2nd ed. Zbl 1248.91002
Privault, Nicolas
2012
Girsanov identities for Poisson measures under quasi-nilpotent transformations. Zbl 1248.60056
Privault, Nicolas
2012
Nonstationary shot noise modeling of neuron membrane potentials by closed-form moments and Gram-Charlier expansions. Zbl 1454.92008
Privault, Nicolas
2020
A recursive algorithm for selling at the ultimate maximum in regime-switching models. Zbl 1387.93188
Liu, Yue; Privault, Nicolas
2018
Stein normal approximation for multidimensional Poisson random measures by third cumulant expansions. Zbl 1404.60075
Privault, Nicolas
2018
Non-Gaussian Malliavin calculus on real Lie algebras. Zbl 1064.60125
Franz, Uwe; Privault, Nicolas; Schott, René
2005
Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals. Zbl 1357.60086
Privault, Nicolas; Wu, Hailing
2015
SURE shrinkage of Gaussian paths and signal identification. Zbl 1261.93078
Privault, Nicolas; Réveillac, Anthony
2011
Numerical computation of theta in a jump-diffusion model by integration by parts. Zbl 1175.91176
David, Delphine; Privault, Nicolas
2009
Weitzenböck and Clark-Ocone decompositions for differential forms on the space of normal martingales. Zbl 1367.60063
Privault, Nicolas
2016
FKG inequality on the Wiener space via predictable representation. Zbl 1135.60037
Ma, Yutao; Privault, Nicolas
2007
Integration by parts for point processes and Monte Carlo estimation. Zbl 1128.62044
Privault, Nicolas; Wei, Xiao
2007
Potential theory in classical probability. Zbl 1167.60018
Privault, Nicolas
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
2011
Stochastic SIR Lévy jump model with heavy-tailed increments. Zbl 1470.92338
Privault, Nicolas; Wang, Liang
2021
Normal approximation for sums of weighted $$U$$-statistics – application to Kolmogorov bounds in random subgraph counting. Zbl 1464.60021
Privault, Nicolas; Serafin, Grzegorz
2020
Integrability and regularity of the flow of stochastic differential equations with jumps. Zbl 1437.60031
Breton, J.-Ch.; Privault, N.
2020
Nonstationary shot noise modeling of neuron membrane potentials by closed-form moments and Gram-Charlier expansions. Zbl 1454.92008
Privault, Nicolas
2020
Third cumulant Stein approximation for Poisson stochastic integrals. Zbl 1451.60055
Privault, Nicolas
2019
Functional inequalities for marked point processes. Zbl 1430.60046
Flint, Ian; Privault, Nicolas; Torrisi, Giovanni Luca
2019
Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates. Zbl 1479.60108
Privault, N.; Yam, S. C. P.; Zhang, Z.
2019
Understanding Markov chains. Examples and applications. 2nd edition. Zbl 1458.60002
Privault, Nicolas
2018
Stein approximation for functionals of independent random sequences. Zbl 1390.60093
Privault, Nicolas; Serafin, Grzegorz
2018
A stochastic newsvendor game with dynamic retail prices. Zbl 1412.91003
Polak, Ido; Privault, Nicolas
2018
A recursive algorithm for selling at the ultimate maximum in regime-switching models. Zbl 1387.93188
Liu, Yue; Privault, Nicolas
2018
Stein normal approximation for multidimensional Poisson random measures by third cumulant expansions. Zbl 1404.60075
Privault, Nicolas
2018
Selling at the ultimate maximum in a regime-switching model. Zbl 1396.91750
Liu, Yue; Privault, Nicolas
2017
Pricing CIR yield options by conditional moment matching. Zbl 1418.91534
2017
Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model. Zbl 1390.91307
Privault, Nicolas; She, Qihao
2016
Large deviations for Bernstein bridges. Zbl 1335.60029
Privault, Nicolas; Yang, Xiangfeng; Zambrini, Jean-Claude
2016
Weitzenböck and Clark-Ocone decompositions for differential forms on the space of normal martingales. Zbl 1367.60063
Privault, Nicolas
2016
De Rham-Hodge decomposition and vanishing of harmonic forms by derivation operators on the Poisson space. Zbl 1342.60084
Privault, Nicolas
2016
Gaussian estimates for the solutions of some one-dimensional stochastic equations. Zbl 1321.60127
Nguyen, Tien Dung; Privault, Nicolas; Torrisi, Giovanni Luca
2015
The Stein and Chen-Stein methods for functionals of non-symmetric Bernoulli processes. Zbl 1329.60079
Privault, Nicolas; Torrisi, Giovanni Luca
2015
Cumulant operators for Lie-Wiener-Itô-Poisson stochastic integrals. Zbl 1330.60069
Privault, Nicolas
2015
Stein approximation for Itô and Skorohod integrals by Edgeworth type expansions. Zbl 1321.60118
Privault, Nicolas
2015
Supermodular ordering of Poisson arrays. Zbl 1321.60029
Kızıldemir, Bünyamin; Privault, Nicolas
2015
Blowup estimates for a family of semilinear SPDEs with time-dependent coefficients. Zbl 1328.60144
Alvarez, Abner; López-Mimbela, José Alfredo; Privault, Nicolas
2015
Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals. Zbl 1357.60086
Privault, Nicolas; Wu, Hailing
2015
Laplace transform identities for the volume of stopping sets based on Poisson point processes. Zbl 1366.60075
Privault, Nicolas
2015
Conditionally Gaussian stochastic integrals. (Intégrales stochastiques conditionnellement gaussiennes.) Zbl 1335.60083
Privault, Nicolas; She, Qihao
2015
Stochastic finance. An introduction with market examples. Zbl 1294.91003
Privault, Nicolas
2014
Factorial moments of point processes. Zbl 1296.60126
Breton, Jean-Christophe; Privault, Nicolas
2014
Understanding Markov chains. Examples and applications. Zbl 1305.60003
Privault, Nicolas
2013
Probability approximation by Clark-Ocone covariance representation. Zbl 1308.60069
Privault, Nicolas; Torrisi, Giovanni Luca
2013
Monte Carlo computation of the Laplace transform of exponential Brownian functionals. Zbl 1275.65090
Privault, Nicolas; Uy, Wayne Isaac
2013
Convex comparison inequalities for non-Markovian stochastic integrals. Zbl 1296.60138
Breton, Jean-Christophe; Laquerrière, Benjamin; Privault, Nicolas
2013
Cumulant operators and moments of the Itô and Skorohod integrals. (Opérateurs cumulants et moments des intégrales d’Itô et de Skorohod.) Zbl 1278.60088
Privault, Nicolas
2013
Convex concentration for some additive functionals of jump stochastic differential equations. Zbl 1277.28004
Ma, Yutao; Privault, Nicolas
2013
Infinite divisibility of interpolated gamma powers. Zbl 1306.60004
Privault, Nicolas; Yang, Dichuan
2013
Invariance of Poisson measures under random transformations. Zbl 1278.60084
Privault, Nicolas
2012
Moments of Poisson stochastic integrals with random integrands. Zbl 1268.60069
Privault, Nicolas
2012
Laplace transform identities and measure-preserving transformations on the Lie-Wiener-Poisson spaces. Zbl 1262.60051
Privault, Nicolas
2012
Measure invariance on the Lie-Wiener path space. Zbl 1317.60067
Privault, Nicolas
2012
An elementary introduction to stochastic interest rate modeling. 2nd ed. Zbl 1248.91002
Privault, Nicolas
2012
Girsanov identities for Poisson measures under quasi-nilpotent transformations. Zbl 1248.60056
Privault, Nicolas
2012
Generalized Bell polynomials and the combinatorics of Poisson central moments. Zbl 1215.11017
Privault, Nicolas
2011
The Dothan pricing model revisited. Zbl 1214.91122
Pintoux, Caroline; Privault, Nicolas
2011
Density estimation of functionals of spatial point processes with application to wireless networks. Zbl 1226.62035
Privault, Nicolas; Torrisi, Giovanni Luca
2011
SURE shrinkage of Gaussian paths and signal identification. Zbl 1261.93078
Privault, Nicolas; Réveillac, Anthony
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
2011
A direct solution to the Fokker-Planck equation for exponential Brownian functionals. Zbl 1206.60061
Pintoux, Caroline; Privault, Nicolas
2010
Random Hermite polynomials and Girsanov identities on the Wiener space. Zbl 1210.60057
Privault, Nicolas
2010
Stochastic deformation of integrable dynamical systems and random time symmetry. Zbl 1312.70010
Privault, Nicolas; Zambrini, Jean-Claude
2010
Stochastic analysis in discrete and continuous settings. With normal martingales. Zbl 1185.60005
Privault, Nicolas
2009
Moment identities for Poisson-Skorohod integrals and application to measure invariance. Zbl 1179.60035
Privault, Nicolas
2009
Moment identities for Skorohod integrals on the Wiener space and applications. Zbl 1189.60113
Privault, Nicolas
2009
Stein estimation of Poisson process intensities. Zbl 1205.62123
Privault, Nicolas; Réveillac, Anthony
2009
Sensitivity analysis and density estimation for finite-time ruin probabilities. Zbl 1169.91018
Loisel, Stéphane; Privault, Nicolas
2009
Numerical computation of theta in a jump-diffusion model by integration by parts. Zbl 1175.91176
David, Delphine; Privault, Nicolas
2009
Stochastic analysis of Bernoulli processes. Zbl 1189.60089
Privault, Nicolas
2008
Stein estimation for the drift of Gaussian processes using the Malliavin calculus. Zbl 1274.62256
Privault, Nicolas; Réveillac, Anthony
2008
Convex ordering for random vectors using predictable representation. Zbl 1151.60007
Arnaudon, Marc; Breton, Jean-Christophe; Privault, Nicolas
2008
Bounds on option prices in point process diffusion models. Zbl 1232.91648
Breton, Jean-Christophe; Privault, Nicolas
2008
Isoperimetric and related bounds on configuration spaces. Zbl 1283.60078
Houdré, Christian; Privault, Nicolas
2008
An elementary introduction to stochastic interest rate modeling. Zbl 1213.91003
Privault, Nicolas
2008
Potential theory in classical probability. Zbl 1167.60018
Privault, Nicolas
2008
Critical exponents for semilinear PDEs with bounded potentials. Zbl 1207.35053
López-Mimbela, José Alfredo; Privault, Nicolas
2008
Dimension free and infinite variance tail estimates on Poisson space. Zbl 1123.60020
Breton, Jean-Christophe; Houdré, Christian; Privault, Nicolas
2007
FKG inequality on the Wiener space via predictable representation. Zbl 1135.60037
Ma, Yutao; Privault, Nicolas
2007
Integration by parts for point processes and Monte Carlo estimation. Zbl 1128.62044
Privault, Nicolas; Wei, Xiao
2007
Convex comparison inequalities for exponential jump-diffusion processes. Zbl 1328.60190
Breton, Jean-Christophe; Privault, Nicolas
2007
Convex concentration inequalities and forward-backward stochastic calculus. Zbl 1112.60034
Klein, Thierry; Ma, Yutao; Privault, Nicolas
2006
Superefficient drift estimation on the Wiener space. Zbl 1101.62067
Privault, Nicolas; Réveillac, Anthony
2006
Blow-up and stability of semilinear PDEs with gamma generators. Zbl 1112.35042
López-Mimbela, José Alfredo; Privault, Nicolas
2005
Euclidean quantum mechanics in the momentum representation. Zbl 1076.81030
Privault, Nicolas; Zambrini, Jean-Claude
2005
Non-Gaussian Malliavin calculus on real Lie algebras. Zbl 1064.60125
Franz, Uwe; Privault, Nicolas; Schott, René
2005
Computations of Greeks in a market with jumps via the Malliavin calculus. Zbl 1098.91050
El-Khatib, Youssef; Privault, Nicolas
2004
Markovian bridges and reversible diffusion processes with jumps. Zbl 1060.60075
Privault, Nicolas; Zambrini, Jean-Claude
2004
A Malliavin calculus approach to sensitivity analysis in insurance. Zbl 1122.91044
Privault, Nicolas; Wei, Xiao
2004
Quasi-invariance formulas for components of quantum Lévy processes. Zbl 1056.81052
Franz, Uwe; Privault, Nicolas
2004
Asymptotic estimates for white noise distributions. Zbl 1044.60075
Ouerdiane, Habib; Privault, Nicolas
2004
Functional inequalities for discrete gradients and application to the geometric distribution. Zbl 1147.60306
Joulin, Aldéric; Privault, Nicolas
2004
Quantum stochastic calculus applied to path spaces over Lie groups. Zbl 1110.81124
Privault, Nicolas
2004
Hedging in complete markets driven by normal martingales. Zbl 1173.91364
El-Khatib, Youssef; Privault, Nicolas
2003
Conditional calculus on Poisson space and enlargement of filtration. Zbl 1027.60054
Mensi, Mounir; Privault, Nicolas
2003
Clark formula and logarithmic Sobolev inequalities for Bernoulli measures. Zbl 1026.60021
Gao, Fuqing; Privault, Nicolas
2003
Quasi-invariance for Lévy processes under anticipating shifts. Zbl 1029.60043
Privault, Nicolas
2003
A concentration inequality on Riemannian path space. Zbl 1035.60030
Houdré, Christian; Privault, Nicolas
2003
Concentration and deviation inequalities in infinite dimensions via covariance representations. Zbl 1012.60020
Houdré, Christian; Privault, Nicolas
2002
A complete market model with Poisson and Brownian components. Zbl 1061.91029
Jeanblanc, M.; Privault, N.
2002
Discrete chaotic calculus and covariance identities. Zbl 1007.60047
Privault, Nicolas; Schoutens, Wim
2002
Splitting of Poisson noise and Lévy processes on real Lie algebras. Zbl 1059.81103
Privault, Nicolas
2002
Distribution-valued iterated gradient and chaotic decompositions of Poisson jump times functionals. Zbl 1007.60089
Privault, Nicolas
2002
Weitzenböck formulas on Poisson probability spaces. Zbl 1003.60092
Privault, Nicolas
2002
Connections and curvature in the Riemannian geometry of configuration spaces. Zbl 1036.58031
Privault, Nicolas
2001
Extended covariance identities and inequalities. Zbl 1078.60032
Privault, Nicolas
2001
Quantum stochastic calculus for the uniform measure and Boolean convolution. Zbl 0981.81044
Privault, Nicolas
2001
Variational calculus for a Lévy process based on a Lie group. Zbl 0978.60061
Privault, N.
2001
A characterization of grand canonical Gibbs measures by duality. Zbl 0994.60057
Privault, Nicolas
2001
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance. Zbl 0963.60065
Aase, Knut; Øksendal, Bernt; Privault, Nicolas; Ubøe, Jan
2000
Chaotic Kabanov formula for the Azéma martingales. Zbl 1023.60046
Privault, Nicolas; Solé, Josep Lluís; Vives, Josep
2000
Connection, parallel transport, curvature and energy identities on spaces of configurations. Zbl 0964.60064
Privault, Nicolas
2000
Skorokhod and pathwise stochastic calculus with respect to an $$L^2$$ process. Zbl 0973.60062
Privault, Nicolas; Tudor, Ciprian
2000
...and 22 more Documents
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### 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
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### 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. Mathématique. Académie des Sciences, Paris 10 Journal of Mathematical Analysis and Applications 9 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 7 Potential Analysis 7 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 6 Electronic Journal of Probability 6 Bernoulli 5 The Annals of Probability 5 The Annals of Applied Probability 5 Communications in Statistics. Theory and Methods 5 Methodology and Computing in Applied Probability 5 Quantitative Finance 5 Journal of Function Spaces 4 Journal of Applied Probability 4 Insurance Mathematics & Economics 4 Acta Applicandae Mathematicae 4 ALEA. Latin American Journal of Probability and Mathematical Statistics 3 Journal of Computational and Applied Mathematics 3 Journal of Optimization Theory and Applications 3 Proceedings of the American Mathematical Society 3 Applied Mathematical Finance 3 Mathematical Finance 3 Abstract and Applied Analysis 3 Acta Mathematica Scientia. Series B. (English Edition) 3 ASTIN Bulletin 3 Advances in Mathematical Physics 2 Advances in Applied Probability 2 Bulletin of the Australian Mathematical Society 2 Communications in Mathematical Physics 2 Journal of Statistical Physics 2 Journal of Geometry and Physics 2 Acta Mathematica Vietnamica 2 Applied Mathematics and Computation 2 Applied Mathematics and Optimization 2 Journal of Multivariate Analysis 2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 2 Probability and Mathematical Statistics 2 Journal of Nonlinear Science 2 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI 2 Turkish Journal of Mathematics 2 Random Operators and Stochastic Equations 2 Discrete Dynamics in Nature and Society 2 Acta Mathematica Sinica. English Series 2 Brazilian Journal of Probability and Statistics 2 Stochastics and Dynamics 2 Asia-Pacific Financial Markets 2 Electronic Journal of Statistics 2 Vestnik Samarskogo Gosudarstvennogo Tekhnicheskogo Universiteta. Seriya Fiziko-Matematicheskie Nauki 2 Probability Surveys 2 Probability, Uncertainty and Quantitative Risk 1 Applicable Analysis 1 Biological Cybernetics 1 Computers & Mathematics with Applications 1 International Journal of Control 1 Journal of Computational Physics 1 Journal of Mathematical Biology 1 The Mathematical Gazette 1 Mathematical Methods in the Applied Sciences 1 Physica A 1 Physics Reports 1 Rocky Mountain Journal of Mathematics 1 The Annals of Statistics 1 Illinois Journal of Mathematics 1 International Journal of Mathematics and Mathematical Sciences 1 Journal of Mathematical Economics 1 The Journal of Mathematical Sociology 1 Mathematische Nachrichten 1 Publications of the Research Institute for Mathematical Sciences, Kyoto University 1 SIAM Journal on Control and Optimization 1 Tôhoku Mathematical Journal. Second Series 1 Transactions of the American Mathematical Society 1 Journal of Economic Dynamics & Control 1 Queueing Systems 1 Journal of Applied Mathematics and Stochastic Analysis 1 Annals of Operations Research 1 Applications of Mathematics 1 Computational Statistics 1 Automation and Remote Control 1 European Journal of Operational Research 1 Journal de Mathématiques Pures et Appliquées. Neuvième Série 1 Stochastics and Stochastics Reports 1 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering 1 Calculus of Variations and Partial Differential Equations 1 Theory of Probability and Mathematical Statistics 1 Annales Mathématiques Blaise Pascal 1 Bulletin des Sciences Mathématiques 1 Arab Journal of Mathematical Sciences 1 Finance and Stochastics 1 Journal of Applied Analysis 1 Doklady Mathematics 1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings ...and 31 more Serials
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### Cited in 42 Fields

 348 Probability theory and stochastic processes (60-XX) 93 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 39 Statistics (62-XX) 23 Functional analysis (46-XX) 23 Quantum theory (81-XX) 22 Partial differential equations (35-XX) 21 Numerical analysis (65-XX) 18 Systems theory; control (93-XX) 14 Operator theory (47-XX) 14 Global analysis, analysis on manifolds (58-XX) 12 Combinatorics (05-XX) 10 Number theory (11-XX) 10 Statistical mechanics, structure of matter (82-XX) 9 Measure and integration (28-XX) 9 Ordinary differential equations (34-XX) 8 Harmonic analysis on Euclidean spaces (42-XX) 6 Dynamical systems and ergodic theory (37-XX) 6 Calculus of variations and optimal control; optimization (49-XX) 6 Operations research, mathematical programming (90-XX) 5 Topological groups, Lie groups (22-XX) 4 Real functions (26-XX) 4 Potential theory (31-XX) 4 Integral transforms, operational calculus (44-XX) 4 Biology and other natural sciences (92-XX) 3 Special functions (33-XX) 3 Abstract harmonic analysis (43-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Integral equations (45-XX) 2 Mechanics of particles and systems (70-XX) 2 Mechanics of deformable solids (74-XX) 2 Fluid mechanics (76-XX) 2 Information and communication theory, circuits (94-XX) 1 History and biography (01-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Nonassociative rings and algebras (17-XX) 1 Functions of a complex variable (30-XX) 1 Difference and functional equations (39-XX) 1 Differential geometry (53-XX) 1 Computer science (68-XX) 1 Relativity and gravitational theory (83-XX) 1 Astronomy and astrophysics (85-XX) 1 Mathematics education (97-XX)