Edit Profile Privault, Nicolas Compute Distance To: Compute Author ID: privault.nicolas Published as: Privault, N.; Privault, Nicolas Homepage: https://personal.ntu.edu.sg/nprivault/ External Links: MGP · theses.fr · MathOverflow · ORCID · dblp · arXiv Documents Indexed: 157 Publications since 1993, including 9 Books Reviewing Activity: 170 Reviews all top 5 Co-Authors 74 single-authored 8 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 3 Liu, Yue 3 Ma, Yutao 3 She, Qihao 3 Wei, Xiao 2 Arnaudon, Marc 2 El-Khatib, Youssef 2 Flint, Ian 2 Joulin, Aldéric 2 Kızıldemir, Bünyamin 2 Laquerrière, Benjamin 2 Pintoux, Caroline 2 Polak, Ido 2 Schott, René 2 Serafin, Grzegorz 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, Yuh-Jia 1 Loisel, Stéphane 1 Mensi, Mounir 1 Nguyen, Tien Dung 1 Øksendal, Bernt Karsten 1 Ouerdiane, Habib 1 Prat, Jean-Jacques 1 Prayoga, Adrian 1 Schoutens, Wim 1 Sheu, Shuennjyi 1 Shih, Hsin-Hung 1 Solé, Josep Lluís 1 Teng, Timothy Robin Y. 1 Teoh, Timothy 1 Tudor, Ciprian A. 1 Ubœ, Jan 1 Uy, Wayne Isaac T. 1 Vives, Josep 1 Wu, Hailing 1 Wu, Jianglun 1 Yam, Sheung Chi Phillip 1 Zhang, Xicheng 1 Zhang, Zhizhuo all top 5 Serials 7 Comptes Rendus de l’Académie des Sciences. Série I 7 Potential Analysis 7 Comptes Rendus. Mathématique. Académie des Sciences, Paris 5 Journal of Functional Analysis 5 Statistics & Probability Letters 4 Electronic Journal of Probability 4 Infinite Dimensional Analysis, Quantum Probability and Related Topics 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 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 3 Comptes Rendus de l’Académie des Sciences. Série I. Mathématique 3 Stochastics 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 Methodology and Computing in Applied Probability 2 Advanced Series on Statistical Science & Applied Probability 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 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 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 Quantitative Finance 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 Chapman & Hall/CRC Financial Mathematics Series all top 5 Fields 147 Probability theory and stochastic processes (60-XX) 28 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 14 Statistics (62-XX) 13 Quantum theory (81-XX) 10 Partial differential equations (35-XX) 10 Global analysis, analysis on manifolds (58-XX) 7 Measure and integration (28-XX) 6 Functional analysis (46-XX) 6 Numerical analysis (65-XX) 4 Combinatorics (05-XX) 4 Topological groups, Lie groups (22-XX) 4 Dynamical systems and ergodic theory (37-XX) 4 Operator theory (47-XX) 4 Systems theory; control (93-XX) 3 Difference and functional equations (39-XX) 2 Number theory (11-XX) 2 Special functions (33-XX) 2 Integral transforms, operational calculus (44-XX) 2 Statistical mechanics, structure of matter (82-XX) 2 Biology and other natural sciences (92-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 Integral equations (45-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 114 Publications have been cited 547 times in 347 Documents Cited by ▼ Year ▼ Stochastic analysis in discrete and continuous settings. With normal martingales. Zbl 1185.60005Privault, Nicolas 48 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 47 2000 Stochastic analysis of Bernoulli processes. Zbl 1189.60089Privault, Nicolas 26 2008 Chaotic and variational calculus in discrete and continuous time for the Poisson process. Zbl 0851.60052Privault, Nicolas 26 1994 Computations of Greeks in a market with jumps via the Malliavin calculus. Zbl 1098.91050El-Khatib, Youssef; Privault, Nicolas 24 2004 Convex concentration inequalities and forward-backward stochastic calculus. Zbl 1112.60034Klein, Thierry; Ma, Yutao; Privault, Nicolas 14 2006 Concentration and deviation inequalities in infinite dimensions via covariance representations. Zbl 1012.60020Houdré, Christian; Privault, Nicolas 14 2002 A transfer principle from Wiener to Poisson space and applications. Zbl 0847.60035Privault, Nicolas 13 1995 Markovian bridges and reversible diffusion processes with jumps. Zbl 1060.60075Privault, Nicolas; Zambrini, Jean-Claude 12 2004 Gaussian estimates for the solutions of some one-dimensional stochastic equations. Zbl 1321.60127Nguyen, Tien Dung; Privault, Nicolas; Torrisi, Giovanni Luca 11 2015 Stein estimation for the drift of Gaussian processes using the Malliavin calculus. Zbl 1274.62256Privault, Nicolas; Réveillac, Anthony 11 2008 Connections and curvature in the Riemannian geometry of configuration spaces. Zbl 1036.58031Privault, Nicolas 10 2001 Explicit stochastic analysis of Brownian motion and point measures on Riemannian manifolds. Zbl 0940.58023Prat, Jean-Jacques; Privault, Nicolas 10 1999 Invariance of Poisson measures under random transformations. Zbl 1278.60084Privault, Nicolas 9 2012 Generalized Bell polynomials and the combinatorics of Poisson central moments. Zbl 1215.11017Privault, Nicolas 9 2011 Moments of Poisson stochastic integrals with random integrands. Zbl 1268.60069Privault, Nicolas 8 2012 Moment identities for Poisson-Skorohod integrals and application to measure invariance. Zbl 1179.60035Privault, Nicolas 8 2009 The Dothan pricing model revisited. Zbl 1214.91122Pintoux, Caroline; Privault, Nicolas 7 2011 A direct solution to the Fokker-Planck equation for exponential Brownian functionals. Zbl 1206.60061Pintoux, Caroline; Privault, Nicolas 7 2010 Moment identities for Skorohod integrals on the Wiener space and applications. Zbl 1189.60113Privault, Nicolas 7 2009 A Malliavin calculus approach to sensitivity analysis in insurance. Zbl 1122.91044Privault, Nicolas; Wei, Xiao 7 2004 Chaotic Kabanov formula for the Azéma martingales. Zbl 1023.60046Privault, Nicolas; Solé, Josep Lluís; Vives, Josep 7 2000 Equivalence of gradients on configuration spaces. Zbl 0955.60068Privault, Nicolas 7 1999 Girsanov theorem for anticipative shifts on Poisson space. Zbl 0838.60038Privault, N. 7 1996 The Stein and Chen-Stein methods for functionals of non-symmetric Bernoulli processes. Zbl 1329.60079Privault, Nicolas; Torrisi, Giovanni Luca 6 2015 A different quantum stochastic calculus for the Poisson process. Zbl 0849.60056Privault, Nicolas 6 1996 Cumulant operators for Lie-Wiener-Itô-Poisson stochastic integrals. Zbl 1330.60069Privault, Nicolas 5 2015 Stochastic finance. An introduction with market examples. Zbl 1294.91003Privault, Nicolas 5 2014 Convex ordering for random vectors using predictable representation. Zbl 1151.60007Arnaudon, Marc; Breton, Jean-Christophe; Privault, Nicolas 5 2008 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 4 2014 Laplace transform identities and measure-preserving transformations on the Lie-Wiener-Poisson spaces. Zbl 1262.60051Privault, Nicolas 4 2012 Density estimation of functionals of spatial point processes with application to wireless networks. Zbl 1226.62035Privault, Nicolas; Torrisi, Giovanni Luca 4 2011 Stein estimation of Poisson process intensities. Zbl 1205.62123Privault, Nicolas; Réveillac, Anthony 4 2009 Dimension free and infinite variance tail estimates on Poisson space. Zbl 1123.60020Breton, Jean-Christophe; Houdré, Christian; Privault, Nicolas 4 2007 A complete market model with Poisson and Brownian components. Zbl 1061.91029Jeanblanc, M.; Privault, N. 4 2002 Poisson stochastic integration in Hilbert spaces. Zbl 1158.60351Privault, Nicolas; Wu, Jiang-Lun 4 1999 Independence of a class of multiple stochastic integrals. Zbl 0937.60049Privault, Nicolas 4 1999 Probability approximation by Clark-Ocone covariance representation. Zbl 1308.60069Privault, Nicolas; Torrisi, Giovanni Luca 3 2013 Cumulant operators and moments of the Itô and Skorohod integrals. Zbl 1278.60088Privault, Nicolas 3 2013 Understanding Markov chains. Examples and applications. Zbl 1305.60003Privault, Nicolas 3 2013 Stochastic deformation of integrable dynamical systems and random time symmetry. Zbl 1312.70010Privault, Nicolas; Zambrini, Jean-Claude 3 2010 Sensitivity analysis and density estimation for finite-time ruin probabilities. Zbl 1169.91018Loisel, Stéphane; Privault, Nicolas 3 2009 Blow-up and stability of semilinear PDEs with gamma generators. Zbl 1112.35042López-Mimbela, José Alfredo; Privault, Nicolas 3 2005 Discrete chaotic calculus and covariance identities. Zbl 1007.60047Privault, Nicolas; Schoutens, Wim 3 2002 A calculus on Fock space and its probabilistic interpretations. Zbl 0924.60033Privault, Nicolas 3 1999 Skorohod stochastic integration with respect to non-adapted processes on Wiener space. Zbl 0918.60038Privault, Nicolas 3 1998 A pointwise equivalence of gradients on configuration spaces. Zbl 0980.60074Privault, Nicolas 3 1998 Stochastic variational calculus for the uniform density measure. Zbl 0894.60047Privault, Nicolas 3 1997 A stochastic newsvendor game with dynamic retail prices. Zbl 1412.91003Polak, Ido; Privault, Nicolas 2 2018 A recursive algorithm for selling at the ultimate maximum in regime-switching models. Zbl 1387.93188Liu, Yue; Privault, Nicolas 2 2018 Selling at the ultimate maximum in a regime-switching model. Zbl 1396.91750Liu, Yue; Privault, Nicolas 2 2017 Large deviations for Bernstein bridges. Zbl 1335.60029Privault, Nicolas; Yang, Xiangfeng; Zambrini, Jean-Claude 2 2016 Blowup estimates for a family of semilinear SPDEs with time-dependent coefficients. Zbl 1328.60144Alvarez, Abner; López-Mimbela, José Alfredo; Privault, Nicolas 2 2015 Stein approximation for Itô and Skorohod integrals by Edgeworth type expansions. Zbl 1321.60118Privault, Nicolas 2 2015 Supermodular ordering of Poisson arrays. Zbl 1321.60029Kızıldemir, Bünyamin; Privault, Nicolas 2 2015 Infinite divisibility of interpolated gamma powers. Zbl 1306.60004Privault, Nicolas; Yang, Dichuan 2 2013 Convex comparison inequalities for non-Markovian stochastic integrals. Zbl 1296.60138Breton, Jean-Christophe; Laquerrière, Benjamin; Privault, Nicolas 2 2013 Monte Carlo computation of the Laplace transform of exponential Brownian functionals. Zbl 1275.65090Privault, Nicolas; Uy, Wayne Isaac 2 2013 Measure invariance on the Lie-Wiener path space. Zbl 1317.60067Privault, Nicolas 2 2012 Girsanov identities for Poisson measures under quasi-nilpotent transformations. Zbl 1248.60056Privault, Nicolas 2 2012 An elementary introduction to stochastic interest rate modeling. 2nd ed. Zbl 1248.91002Privault, Nicolas 2 2012 Random Hermite polynomials and Girsanov identities on the Wiener space. Zbl 1210.60057Privault, Nicolas 2 2010 Bounds on option prices in point process diffusion models. Zbl 1232.91648Breton, Jean-Christophe; 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 Quantum stochastic calculus applied to path spaces over Lie groups. Zbl 1110.81124Privault, Nicolas 2 2004 Functional inequalities for discrete gradients and application to the geometric distribution. Zbl 1147.60306Joulin, Aldéric; Privault, Nicolas 2 2004 Asymptotic estimates for white noise distributions. Zbl 1044.60075Ouerdiane, Habib; Privault, Nicolas 2 2004 Quasi-invariance formulas for components of quantum Lévy processes. Zbl 1056.81052Franz, Uwe; Privault, Nicolas 2 2004 Hedging in complete markets driven by normal martingales. Zbl 1173.91364El-Khatib, Youssef; Privault, Nicolas 2 2003 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 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 Multiple stochastic integral expansions of arbitrary Poisson jump times functionals. Zbl 0938.60077Privault, Nicolas 2 1999 The Sard inequality on two non-Gaussian spaces. Zbl 0901.60008Privault, Nicolas 2 1998 Calculus on Fock space and a non-adapted quantum Itô formula. Zbl 0865.60052Privault, Nicolas 2 1996 On the independence of multiple stochastic integrals with respect to a class of martingales. Zbl 0860.60034Privault, Nicolas 2 1996 A new non-commutative representation of the Brownian motion and of the Poisson process. Zbl 0849.60079Privault, Nicolas 2 1996 Meyer inequalities on Poisson space. Zbl 0798.60058Privault, Nicolas 2 1994 Functional inequalities for marked point processes. Zbl 1430.60046Flint, Ian; Privault, Nicolas; Torrisi, Giovanni Luca 1 2019 Stein normal approximation for multidimensional Poisson random measures by third cumulant expansions. Zbl 1404.60075Privault, Nicolas 1 2018 Understanding Markov chains. Examples and applications. 2nd edition. Zbl 06897890Privault, Nicolas 1 2018 Stein approximation for functionals of independent random sequences. Zbl 1390.60093Privault, Nicolas; Serafin, Grzegorz 1 2018 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 Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model. Zbl 1390.91307Privault, Nicolas; She, Qihao 1 2016 Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals. Zbl 1357.60086Privault, Nicolas; Wu, Hailing 1 2015 Conditionally Gaussian stochastic integrals. Zbl 1335.60083Privault, Nicolas; She, Qihao 1 2015 Convex concentration for some additive functionals of jump stochastic differential equations. Zbl 1277.28004Ma, Yutao; Privault, Nicolas 1 2013 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 1222.60008Kohatsu-Higa, Arturo (ed.); Privault, Nicolas (ed.); Sheu, Shuenn-Jyi (ed.) 1 2011 Numerical computation of theta in a jump-diffusion model by integration by parts. Zbl 1175.91176David, Delphine; Privault, Nicolas 1 2009 Isoperimetric and related bounds on configuration spaces. Zbl 1283.60078Houdré, Christian; Privault, Nicolas 1 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 Convex comparison inequalities for exponential jump-diffusion processes. Zbl 1328.60190Breton, Jean-Christophe; Privault, Nicolas 1 2007 Integration by parts for point processes and Monte Carlo estimation. Zbl 1128.62044Privault, Nicolas; Wei, Xiao 1 2007 Functional inequalities for marked point processes. Zbl 1430.60046Flint, Ian; Privault, Nicolas; Torrisi, Giovanni Luca 1 2019 A stochastic newsvendor game with dynamic retail prices. Zbl 1412.91003Polak, Ido; Privault, Nicolas 2 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 1 2018 Understanding Markov chains. Examples and applications. 2nd edition. Zbl 06897890Privault, Nicolas 1 2018 Stein approximation for functionals of independent random sequences. Zbl 1390.60093Privault, Nicolas; Serafin, Grzegorz 1 2018 Selling at the ultimate maximum in a regime-switching model. Zbl 1396.91750Liu, Yue; Privault, Nicolas 2 2017 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 Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model. Zbl 1390.91307Privault, Nicolas; She, Qihao 1 2016 Gaussian estimates for the solutions of some one-dimensional stochastic equations. Zbl 1321.60127Nguyen, Tien Dung; Privault, Nicolas; Torrisi, Giovanni Luca 11 2015 The Stein and Chen-Stein methods for functionals of non-symmetric Bernoulli processes. Zbl 1329.60079Privault, Nicolas; Torrisi, Giovanni Luca 6 2015 Cumulant operators for Lie-Wiener-Itô-Poisson stochastic integrals. Zbl 1330.60069Privault, Nicolas 5 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 Stein approximation for Itô and Skorohod integrals by Edgeworth type expansions. Zbl 1321.60118Privault, Nicolas 2 2015 Supermodular ordering of Poisson arrays. Zbl 1321.60029Kızıldemir, Bünyamin; Privault, Nicolas 2 2015 Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals. Zbl 1357.60086Privault, Nicolas; Wu, Hailing 1 2015 Conditionally Gaussian stochastic integrals. Zbl 1335.60083Privault, Nicolas; She, Qihao 1 2015 Stochastic finance. An introduction with market examples. Zbl 1294.91003Privault, Nicolas 5 2014 Factorial moments of point processes. Zbl 1296.60126Breton, Jean-Christophe; Privault, Nicolas 4 2014 Probability approximation by Clark-Ocone covariance representation. Zbl 1308.60069Privault, Nicolas; Torrisi, Giovanni Luca 3 2013 Cumulant operators and moments of the Itô and Skorohod integrals. Zbl 1278.60088Privault, Nicolas 3 2013 Understanding Markov chains. Examples and applications. Zbl 1305.60003Privault, Nicolas 3 2013 Infinite divisibility of interpolated gamma powers. Zbl 1306.60004Privault, Nicolas; Yang, Dichuan 2 2013 Convex comparison inequalities for non-Markovian stochastic integrals. Zbl 1296.60138Breton, Jean-Christophe; Laquerrière, Benjamin; Privault, Nicolas 2 2013 Monte Carlo computation of the Laplace transform of exponential Brownian functionals. Zbl 1275.65090Privault, Nicolas; Uy, Wayne Isaac 2 2013 Convex concentration for some additive functionals of jump stochastic differential equations. Zbl 1277.28004Ma, Yutao; Privault, Nicolas 1 2013 Invariance of Poisson measures under random transformations. Zbl 1278.60084Privault, Nicolas 9 2012 Moments of Poisson stochastic integrals with random integrands. Zbl 1268.60069Privault, Nicolas 8 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 Girsanov identities for Poisson measures under quasi-nilpotent transformations. Zbl 1248.60056Privault, Nicolas 2 2012 An elementary introduction to stochastic interest rate modeling. 2nd ed. Zbl 1248.91002Privault, Nicolas 2 2012 Generalized Bell polynomials and the combinatorics of Poisson central moments. Zbl 1215.11017Privault, Nicolas 9 2011 The Dothan pricing model revisited. Zbl 1214.91122Pintoux, Caroline; Privault, Nicolas 7 2011 Density estimation of functionals of spatial point processes with application to wireless networks. Zbl 1226.62035Privault, Nicolas; Torrisi, Giovanni Luca 4 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 1222.60008Kohatsu-Higa, Arturo (ed.); Privault, Nicolas (ed.); Sheu, Shuenn-Jyi (ed.) 1 2011 A direct solution to the Fokker-Planck equation for exponential Brownian functionals. Zbl 1206.60061Pintoux, Caroline; Privault, Nicolas 7 2010 Stochastic deformation of integrable dynamical systems and random time symmetry. Zbl 1312.70010Privault, Nicolas; Zambrini, Jean-Claude 3 2010 Random Hermite polynomials and Girsanov identities on the Wiener space. Zbl 1210.60057Privault, Nicolas 2 2010 Stochastic analysis in discrete and continuous settings. With normal martingales. Zbl 1185.60005Privault, Nicolas 48 2009 Moment identities for Poisson-Skorohod integrals and application to measure invariance. Zbl 1179.60035Privault, Nicolas 8 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 4 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 26 2008 Stein estimation for the drift of Gaussian processes using the Malliavin calculus. Zbl 1274.62256Privault, Nicolas; Réveillac, Anthony 11 2008 Convex ordering for random vectors using predictable representation. Zbl 1151.60007Arnaudon, Marc; Breton, Jean-Christophe; Privault, Nicolas 5 2008 Bounds on option prices in point process diffusion models. Zbl 1232.91648Breton, Jean-Christophe; Privault, Nicolas 2 2008 An elementary introduction to stochastic interest rate modeling. Zbl 1213.91003Privault, Nicolas 2 2008 Isoperimetric and related bounds on configuration spaces. Zbl 1283.60078Houdré, Christian; Privault, Nicolas 1 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 4 2007 Convex comparison inequalities for exponential jump-diffusion processes. Zbl 1328.60190Breton, Jean-Christophe; Privault, Nicolas 1 2007 Integration by parts for point processes and Monte Carlo estimation. Zbl 1128.62044Privault, Nicolas; Wei, Xiao 1 2007 FKG inequality on the Wiener space via predictable representation. Zbl 1135.60037Ma, Yutao; Privault, Nicolas 1 2007 Convex concentration inequalities and forward-backward stochastic calculus. Zbl 1112.60034Klein, Thierry; Ma, Yutao; Privault, Nicolas 14 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 1 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 24 2004 Markovian bridges and reversible diffusion processes with jumps. Zbl 1060.60075Privault, Nicolas; Zambrini, Jean-Claude 12 2004 A Malliavin calculus approach to sensitivity analysis in insurance. Zbl 1122.91044Privault, Nicolas; Wei, Xiao 7 2004 Quantum stochastic calculus applied to path spaces over Lie groups. Zbl 1110.81124Privault, Nicolas 2 2004 Functional inequalities for discrete gradients and application to the geometric distribution. Zbl 1147.60306Joulin, Aldéric; Privault, Nicolas 2 2004 Asymptotic estimates for white noise distributions. Zbl 1044.60075Ouerdiane, Habib; Privault, Nicolas 2 2004 Quasi-invariance formulas for components of quantum Lévy processes. Zbl 1056.81052Franz, Uwe; Privault, Nicolas 2 2004 Hedging in complete markets driven by normal martingales. Zbl 1173.91364El-Khatib, Youssef; Privault, Nicolas 2 2003 A concentration inequality on Riemannian path space. Zbl 1035.60030Houdré, Christian; Privault, Nicolas 1 2003 Quasi-invariance for Lévy processes under anticipating shifts. Zbl 1029.60043Privault, Nicolas 1 2003 Clark formula and logarithmic Sobolev inequalities for Bernoulli measures. Zbl 1026.60021Gao, Fuqing; Privault, Nicolas 1 2003 Concentration and deviation inequalities in infinite dimensions via covariance representations. Zbl 1012.60020Houdré, Christian; Privault, Nicolas 14 2002 A complete market model with Poisson and Brownian components. Zbl 1061.91029Jeanblanc, M.; Privault, N. 4 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 A characterization of grand canonical Gibbs measures by duality. Zbl 0994.60057Privault, Nicolas 1 2001 Variational calculus for a Lévy process based on a Lie group. Zbl 0978.60061Privault, N. 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 47 2000 Chaotic Kabanov formula for the Azéma martingales. Zbl 1023.60046Privault, Nicolas; Solé, Josep Lluís; Vives, Josep 7 2000 Skorokhod and pathwise stochastic calculus with respect to an \(L^2\) process. Zbl 0973.60062Privault, Nicolas; Tudor, Ciprian 1 2000 Connection, parallel transport, curvature and energy identities on spaces of configurations. Zbl 0964.60064Privault, Nicolas 1 2000 Explicit stochastic analysis of Brownian motion and point measures on Riemannian manifolds. Zbl 0940.58023Prat, Jean-Jacques; Privault, Nicolas 10 1999 Equivalence of gradients on configuration spaces. Zbl 0955.60068Privault, Nicolas 7 1999 Poisson stochastic integration in Hilbert spaces. Zbl 1158.60351Privault, Nicolas; Wu, Jiang-Lun 4 1999 Independence of a class of multiple stochastic integrals. Zbl 0937.60049Privault, Nicolas 4 1999 A calculus on Fock space and its probabilistic interpretations. Zbl 0924.60033Privault, Nicolas 3 1999 Multiple stochastic integral expansions of arbitrary Poisson jump times functionals. Zbl 0938.60077Privault, Nicolas 2 1999 Absolute continuity in infinite dimensions and anticipating stochastic calculus. Zbl 0910.60043Privault, Nicolas 5 1998 Skorohod stochastic integration with respect to non-adapted processes on Wiener space. Zbl 0918.60038Privault, Nicolas 3 1998 A pointwise equivalence of gradients on configuration spaces. Zbl 0980.60074Privault, Nicolas 3 1998 ...and 14 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 417 Authors 64 Privault, Nicolas 18 Wang, Caishi 15 Øksendal, Bernt Karsten 8 Albeverio, Sergio A. 8 Chen, Jinshu 7 Decreusefond, Laurent 7 Peccati, Giovanni 6 Ji, Un Cig 5 Breton, Jean-Christophe 5 Nguyen Tien Dung 5 Kawai, Reiichiro 5 Nguyen, Tien Dung 5 Tang, Yuling 5 Zambrini, Jean-Claude 4 Bouleau, Nicolas 4 Daletskii, Alexei 4 Hu, Yaozhong 4 Kondrat’yev, Yuriĭ Grygorovych 4 López-Mimbela, José Alfredo 4 Ren, Suling 4 Sulem, Agnès 4 Takeuchi, Atsushi 4 Torrisi, Giovanni Luca 4 Tudor, Ciprian A. 3 Butov, Aleksandr Aleksandrovich 3 Conforti, Giovanni 3 Di Nunno, Giulia 3 Domelevo, Komla 3 Dozzi, Marco E. 3 Eddahbi, M’hamed 3 Flint, Ian 3 Franz, Uwe 3 Ishikawa, Yasushi 3 Joulin, Aldéric 3 Last, Günter 3 Loisel, Stéphane 3 Lytvynov, Eugene W. 3 Ma, Yutao 3 Obata, Nobuaki 3 Yolcu Okur, Yeliz 3 Osswald, Horst 3 Ouerdiane, Habib 3 Petermichl, Stefanie 3 Proske, Frank Norbert 3 Rajeev, Bhaskaran 3 Réveillac, Anthony 3 Reynaud-Bouret, Patricia 3 Roelly, Sylvie 3 Serafin, Grzegorz 3 Siu, Tak Kuen 3 Wu, Liming 2 Accardi, Luigi 2 Agram, Nacira 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 Chaari, Sonia 2 Chafaï, Djalil 2 Chai, Huifang 2 Chen, Tingqiang 2 Cherif, Sidi Mohamed Lalaoui Ben 2 Coeurjolly, Jean-François 2 Corcino, Roberto Bagsarsa 2 Denis, Laurent 2 Draouil, Olfa 2 Durastanti, Claudio 2 El-Khatib, Youssef 2 Gao, Fuqing 2 Han, Qi 2 Hayashi, Masafumi 2 He, Jianmin 2 Kızıldemir, Bünyamin 2 Kolkovska, Ekaterina Todorova 2 Kovalenko, Anatoliĭ Aleksandrovich 2 Kuna, Tobias 2 León, Jorge A. 2 Léonard, Christian 2 Liu, Yue 2 Løkka, Arne 2 Lu, Yanchun 2 Meyer-Brandis, Thilo 2 Nolder, Craig A. 2 Nourdin, Ivan 2 Olivera, Christian 2 Parczewski, Peter 2 Russo, Francesco 2 Saitô, Kimiaki 2 Schott, René 2 Schulte, Matthias 2 She, Qihao 2 Shih, Hsin-Hung 2 Smorodina, Natal’ya Vasil’evna 2 Streit, Ludwig 2 Ustunel, Ali Suleyman 2 Vuillermot, Pierre-A. ...and 317 more Authors all top 5 Cited in 113 Serials 23 Stochastic Processes and their Applications 17 Infinite Dimensional Analysis, Quantum Probability and Related Topics 16 Journal of Functional Analysis 15 Stochastic Analysis and Applications 14 Statistics & Probability Letters 13 Journal of Mathematical Physics 12 Journal of Theoretical Probability 11 Comptes Rendus. 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