← All authors Nicolas Privault Nanyang Technological University (per OpenAlex) · ORCID · OpenAlex
91 papers in scope · 91 published · 1 on the econ.EM arXiv · 772 citations · h-index 14 (over the papers listed here)
Papers (1 of 91)
Gaussian fluctuations of generalized U -statistics and subgraph counting in the binomial random-connection model
published 2025 · Stochastic Processes and their Applications
with Qingwei Liu
published 2025 · The Journal of Computational Finance · first circulated 2021
Normal approximation of subgraph counts in the random-connection model
published 2024 · Bernoulli · 7 citations · first circulated 2023
with Qingwei Liu
Wasserstein distance estimates for jump-diffusion processes
published 2024 · Stochastic Processes and their Applications · 1 citations · first circulated 2022
with Jean-Christophe Breton
A q -binomial extension of the CRR asset pricing model
published 2023 · Stochastic Models · 4 citations · first circulated 2021
with Jean-Christophe Breton, Youssef El-Khatib, Jun Fan
Normal Approximation of Compound Hawkes Functionals
published 2023 · Journal of Theoretical Probability · 1 citations · first circulated 2022
with Mahmoud Khabou, Anthony Réveillac
A Constructive Approach to Existence of Equilibria in Time-Inconsistent Stochastic Control Problems
published 2022 · first circulated 2021
with Jiang Yu Nguwi
$ G $-expectation approach to stochastic ordering
published 2022 · Frontiers of Mathematical Finance · 1 citations
with Sel Ly
Existence and probabilistic representation of the solutions of semilinear parabolic PDEs with fractional Laplacians
published 2021 · Stochastic Partial Differential Equations Analysis and Computations
with Guillaume Penent
Normal approximation for generalized U -statistics and weighted random graphs
published 2021 · Stochastics · 2 citations · first circulated 2020
with Grzegorz Serafin
Characterization of stochastic equilibrium controls by the Malliavin calculus
published 2021 · Stochastics and Dynamics
with Jiang Yu Nguwi
Recursive computation of the Hawkes cumulants
published 2021 · Statistics & Probability Letters · 1 citations
Cardinality estimation for random stopping sets based on Poisson point processes
published 2021 · ESAIM Probability and Statistics · 2 citations
Stochastic ordering by g -expectations
published 2021 · Probability Uncertainty and Quantitative Risk · 2 citations · first circulated 2020
with Sel Ly
Invariance of Poisson Point Processes by Moment Identities with Statistical Applications
published 2021 · Springer proceedings in mathematics & statistics
Wasserstein Distance Estimates for Stochastic Integrals by Forward-Backward Stochastic Calculus
published 2020 · Potential Analysis · 1 citations
with Jean-Christophe Breton
Integrability and Regularity of the Flow of Stochastic Differential Equations with Jumps
published 2020 · Theory of Probability and Its Applications · 7 citations · first circulated 2019
with Jean-Christophe Breton
Moments of k -hop counts in the random-connection model
published 2019 · Journal of Applied Probability · 6 citations
Normal approximation for sums of weighted $U$-statistics – application to Kolmogorov bounds in random subgraph counting
published 2019 · Bernoulli · 22 citations · first circulated 2018
with Grzegorz Serafin
Bounds in Total Variation Distance for Discrete-time Processes on the Sequence Space
published 2018 · Potential Analysis · 2 citations
with Ian Flint, Giovanni Luca Torrisi
Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates
published 2018 · Stochastic Processes and their Applications · 1 citations
with Sheung Chi Phillip Yam, Zhicheng Zhang
Third Cumulant Stein Approximation for Poisson Stochastic Integrals
published 2018 · Journal of Theoretical Probability · 6 citations
Cournot Games with Limited Demand: From Multiple Equilibria to Stochastic Equilibrium
published 2018 · 2 citations
with Ido Polak
FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING
published 2017 · Astin Bulletin · 5 citations
with Xiao Wei
An integration by parts formula in a Markovian regime switching model and application to sensitivity analysis
published 2017 · Stochastic Analysis and Applications · 2 citations
with Yue Liu
Conditional Stein approximation for Itô and Skorohod integrals
published 2017 · Statistics & Probability Letters
with Qihao She
A Recursive Algorithm for Selling at the Ultimate Maximum in Regime-Switching Models
published 2017 · Methodology And Computing In Applied Probability · 11 citations
with Yue Liu
SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL
published 2017 · International Journal of Theoretical and Applied Finance · 7 citations · first circulated 2015
with Yue Liu
Pricing CIR Yield Options by Conditional Moment Matching
published 2017 · Asia-Pacific Financial Markets · 6 citations
with Adrian Prayoga
Stratified approximations for the pricing of options on average
published 2016 · The Journal of Computational Finance
with Jiadong Yu
Poisson sphere counting processes with random radii
published 2016 · ESAIM Probability and Statistics · 1 citations
Variance-GGC Asset Price Models and Their Sensitivity Analysis
published 2016 · Springer proceedings in mathematics & statistics · 1 citations
with Dichuan Yang
Large deviations for Bernstein bridges
published 2015 · Stochastic Processes and their Applications · 6 citations
with Xiangfeng Yang, Jean-Claude Zambrini
Conditionally Gaussian stochastic integrals
published 2015 · Comptes Rendus Mathématique · 2 citations
with Qihao She
Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
published 2015 · Applied Mathematics Letters · 5 citations
with Qihao She
Mixing of Poisson random measures under interacting transformations
published 2015 · Stochastics · 1 citations · first circulated 2013
COMPUTATION OF FREDHOLM DETERMINANTS FOR QUADRATIC ORNSTEIN-UHLENBECK FUNCTIONALS
published 2015 · Taiwanese Journal of Mathematics · 1 citations
with Hailing Wu
Analytic bond pricing for short rate dynamics evolving on matrix Lie groups
published 2015 · Quantitative Finance · 6 citations
with Nengli Lim
Gaussian Estimates for the Solutions of Some One-dimensional Stochastic Equations
published 2015 · Potential Analysis · 27 citations
with Tien Dung Nguyen, Giovanni Luca Torrisi
Supermodular ordering of Poisson arrays
published 2015 · Statistics & Probability Letters · 4 citations
with Bünyamin Kızıldemir
Blowup estimates for a family of semilinear SPDEs with time-dependent coefficients
published 2015 · Differential Equations & Applications · 5 citations
with Abner Alvarez, José Alfredo López-Mimbela
Hedging in bond markets by the Clark-Ocone formula
published 2014 · Communications on Stochastic Analysis
with Timothy Robin Y. Teng
Factorial moments of point processes
published 2014 · Stochastic Processes and their Applications · 11 citations · first circulated 2013
with Jean-Christophe Breton
Cumulant Operators for Lie–Wiener–Itô–Poisson Stochastic Integrals
published 2013 · Journal of Theoretical Probability · 8 citations
Convex concentration for some additive functionals of jump stochastic differential equations
published 2013 · Acta Mathematica Sinica English Series · 5 citations
with Yutao Ma
Cumulant operators and moments of the Itô and Skorohod integrals
published 2013 · Comptes Rendus Mathématique · 3 citations
Convex comparison inequalities for non-Markovian stochastic integrals
published 2012 · Stochastics · 5 citations
with Jean-Christophe Breton, Benjamin Laquerrière
Risk-neutral hedging of interest rate derivatives
published 2012 · Risk and Decision Analysis · 2 citations
with Timothy Robin Y. Teng
Measure Invariance on the Lie-Wiener Path Space
published 2012 · Springer proceedings in mathematics & statistics · 2 citations
Monte Carlo Computation of the Laplace Transform of Exponential Brownian Functionals
published 2011 · Methodology And Computing In Applied Probability · 5 citations
with Wayne Isaac Tan Uy
THE DOTHAN PRICING MODEL REVISITED
published 2010 · Mathematical Finance · 21 citations
with Caroline Pintoux
A DIRECT SOLUTION TO THE FOKKER–PLANCK EQUATION FOR EXPONENTIAL BROWNIAN FUNCTIONALS
published 2010 · Analysis and Applications · 16 citations
with Caroline Pintoux
SURE shrinkage of Gaussian paths and signal identification
published 2009 · ESAIM Probability and Statistics · first circulated 2008
with Anthony Réveillac
Numerical computation of Theta in a jump-diffusion model by integration by parts
published 2009 · Quantitative Finance · 3 citations
with Delphine David
Moment identities for Poisson–Skorohod integrals and application to measure invariance
published 2009 · Comptes Rendus Mathématique · 15 citations
Sensitivity analysis and density estimation for finite-time ruin probabilities
published 2008 · Journal of Computational and Applied Mathematics · 13 citations
with Stéphane Loisel
Convex Ordering for Random Vectors using Predictable Representation
published 2008 · Potential Analysis · 14 citations
with Marc Arnaudon, Jean-Christophe Breton
BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS
published 2008 · International Journal of Theoretical and Applied Finance · 5 citations
with Jean-Christophe Breton
Isoperimetric and related bounds on configuration spaces
published 2008 · Statistics & Probability Letters · 4 citations
with Christian Houdré
Stein estimation of Poisson process intensities
published 2007 · Statistical Inference for Stochastic Processes · 9 citations
with Anthony Réveillac
Integration by Parts for Point Processes and Monte Carlo Estimation
published 2007 · Journal of Applied Probability · 3 citations
with Xiao Wei
Convex comparison inequalities for exponential jump-diffusion processes
published 2007 · Communications on Stochastic Analysis · 2 citations
with Jean-Christophe Breton
Dimension Free and Infinite Variance Tail Estimates on Poisson Space
published 2007 · Acta Applicandae Mathematicae · 23 citations · first circulated 2004
with Jean-Christophe Breton, Christian Houdré
Superefficient drift estimation on the Wiener space
published 2006 · Comptes Rendus Mathématique · 7 citations
with Anthony Réveillac
Convex Concentration Inequalities and Forward-Backward Stochastic Calculus
published 2006 · Electronic Journal of Probability · 24 citations
with Thierry Klein, Yutao Ma
Deviation inequalities and the law of iterated logarithm on the path space over a loop group
published 2005 · Stochastics
with Xicheng Zhang
A Malliavin calculus approach to sensitivity analysis in insurance
published 2004 · Insurance Mathematics and Economics · 19 citations · first circulated 2003
with Xiao Wei
Markovian bridges and reversible diffusion processes with jumps
published 2004 · Annales de l Institut Henri Poincaré Probabilités et Statistiques · 28 citations
Functional inequalities for discrete gradients and application to the geometric distribution
published 2004 · ESAIM Probability and Statistics · 8 citations
with Aldéric Joulin
Asymptotic estimates for white noise distributions
published 2004 · Comptes Rendus Mathématique · 6 citations
with Habib Ouerdiane
Computations of Greeks in a market with jumps via the Malliavin calculus
published 2004 · Finance and Stochastics · 61 citations
with Youssef El-Khatib
QUASI-INVARIANCE FORMULAS FOR COMPONENTS OF QUANTUM LÉVY PROCESSES
published 2004 · Infinite Dimensional Analysis Quantum Probability and Related Topics · 3 citations
with Uwe Franz
Smoothness of Wigner densities on the affine algebra
published 2003 · Comptes Rendus Mathématique
with Uwe Franz, René Schott
Conditional Calculus on Poisson Space and Enlargement of Filtration
published 2003 · Stochastic Analysis and Applications · 5 citations
with Mounir Mensi
Hedging in complete markets driven by normal martingales
published 2003 · Applicationes Mathematicae · 5 citations
with Youssef El-Khatib
Clark formula and logarithmic Sobolev inequalities for Bernoulli measures
published 2003 · Comptes Rendus Mathématique · 4 citations
with Fuqing Gao
Extended covariance identities and inequalities
published 2001 · Statistics & Probability Letters · 5 citations
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
published 2000 · Finance and Stochastics · 134 citations
with Knut K. Aase, Bernt Øksendal, Jan Ubøe
Chaotic Kabanov Formula for the Azéma Martingales
published 2000 · Bernoulli · 14 citations
with Josep Lluís Solé, Josep Vives
Hypothesis testing and Skorokhod stochastic integration
published 2000 · Journal of Applied Probability · 4 citations
Connection, parallel transport, curvature and energy identities on spaces of configurations
published 2000 · Comptes Rendus de l Académie des Sciences - Series I - Mathematics · 6 citations
Skorokhod and pathwise stochastic calculus with respect to an L ² process
published 2000 · Random Operators and Stochastic Equations · 2 citations
with Ciprian A. Tudor
Multiple stochastic integral expansions of arbitrary Poisson jump times functionals
published 1999 · Statistics & Probability Letters · 4 citations
Poisson stochastic integration in Hilbert spaces
published 1999 · Annales mathématiques Blaise Pascal · 17 citations
with Jiang-Lun Wu
Skorohod stochastic integration with respect to non-adapted processes on Wiener space"
published 1998 · Stochastics and stochastics reports · 15 citations
A pointwise equivalence of gradients on configuration spaces
published 1998 · Comptes Rendus de l Académie des Sciences - Series I - Mathematics · 10 citations
An analytic approach to stochastic calculus
published 1998 · Comptes Rendus de l Académie des Sciences - Series I - Mathematics · 3 citations
Girsanov theorem for anticipative shifts on Poisson space
published 1996 · Probability Theory and Related Fields · 14 citations
On the independence of multiple stochastic integrals with respect to a class of martingales
published 1996 · Comptes rendus de l'Académie des sciences. Série 1, Mathématique · 12 citations
no link
A Transfer Principle from Wiener to Poisson Space and Applications
published 1995 · Journal of Functional Analysis · 30 citations
Calcul chaotique et variationnel pour le processus de Poisson
published 1993 · Comptes rendus de l'Académie des sciences. Série 1, Mathématique · 5 citations
no link
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).