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1

[Springer Undergraduate Mathematics Series] Understanding Markov Chains ||

Privault, Nicolas

Year:

2013

Language:

english

File:

PDF, 3.45 MB

english, 2013

2

White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance

Knut Aase, Bernt Øksendal, Nicolas Privault, Jan Ubøe

Journal:

Finance and Stochastics

Year:

2000

Language:

english

File:

PDF, 199 KB

english, 2000

3

THE DOTHAN PRICING MODEL REVISITED

Caroline Pintoux, Nicolas Privault

Journal:

Mathematical Finance

Year:

2011

Language:

english

File:

PDF, 153 KB

english, 2011

4

BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS

BRETON, JEAN-CHRISTOPHE, PRIVAULT, NICOLAS

Journal:

International Journal of Theoretical and Applied Finance

Year:

2008

Language:

english

File:

PDF, 203 KB

english, 2008

5

A Malliavin calculus approach to sensitivity analysis in insurance

Nicolas Privault, Xiao Wei

Journal:

Insurance: Mathematics and Economics

Year:

2004

Language:

english

File:

PDF, 175 KB

english, 2004

6

Markovian bridges and reversible diffusion processes with jumps

Nicolas Privault, Jean-Claude Zambrini

Journal:

Annales de l'Institut Henri Poincare (B) Probability and Statistics

Year:

2004

Language:

english

File:

PDF, 332 KB

english, 2004

7

Numerical computation of Theta in a jump-diffusion model by integration by parts

David, Delphine, Privault, Nicolas

Journal:

Quantitative Finance

Year:

2009

Language:

english

File:

PDF, 499 KB

english, 2009

8

Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model

Privault, Nicolas, She, Qihao

Journal:

Applied Mathematics Letters

Year:

2016

Language:

english

File:

PDF, 608 KB

english, 2016

9

Analytic bond pricing for short rate dynamics evolving on matrix Lie groups

Lim, Nengli, Privault, Nicolas

Journal:

Quantitative Finance

Year:

2016

Language:

english

File:

PDF, 832 KB

english, 2016

10

SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL

LIU, YUE, PRIVAULT, NICOLAS

Journal:

International Journal of Theoretical and Applied Finance

Year:

2017

Language:

english

File:

PDF, 987 KB

english, 2017

11

Explicit Stochastic Analysis of Brownian Motion and Point Measures on Riemannian Manifolds

Jean-Jacques Prat, Nicolas Privault

Journal:

Journal of Functional Analysis

Year:

1999

Language:

english

File:

PDF, 249 KB

english, 1999

12

Connections and Curvature in the Riemannian Geometry of Configuration Spaces

Nicolas Privault

Journal:

Journal of Functional Analysis

Year:

2001

Language:

english

File:

PDF, 257 KB

english, 2001

13

Sensitivity analysis and density estimation for finite-time ruin probabilities

Stéphane Loisel, Nicolas Privault

Journal:

Journal of Computational and Applied Mathematics

Year:

2009

Language:

english

File:

PDF, 1.02 MB

english, 2009

14

Asymptotic estimates for white noise distributions

Habib Ouerdiane, Nicolas Privault

Journal:

Comptes Rendus Mathematique

Year:

2004

Language:

french

File:

PDF, 116 KB

french, 2004

15

Non-Gaussian Malliavin calculus on real Lie algebras

Uwe Franz, Nicolas Privault, René Schott

Journal:

Journal of Functional Analysis

Year:

2005

Language:

english

File:

PDF, 325 KB

english, 2005

16

Computations of Greeks in a market with jumps via the Malliavin calculus

Youssef El-Khatib, Nicolas Privault

Journal:

Finance and Stochastics

Year:

2004

Language:

english

File:

PDF, 485 KB

english, 2004

17

Dimension Free and Infinite Variance Tail Estimates on Poisson Space

Jean-Christophe Breton, Christian Houdré, Nicolas Privault

Journal:

Acta Applicandae Mathematicae

Year:

2007

Language:

english

File:

PDF, 921 KB

english, 2007

18

Laplace transform identities and measure-preserving transformations on the Lie–Wiener–Poisson spaces

Nicolas Privault

Journal:

Journal of Functional Analysis

Year:

2012

Language:

english

File:

PDF, 274 KB

english, 2012

19

Monte Carlo Computation of the Laplace Transform of Exponential Brownian Functionals

Nicolas Privault, Wayne Isaac Uy

Journal:

Methodology and Computing in Applied Probability

Year:

2013

Language:

english

File:

PDF, 360 KB

english, 2013

20

Euclidean quantum mechanics in the momentum representation

Privault, Nicolas, Zambrini, Jean-Claude

Journal:

Journal of Mathematical Physics

Year:

2005

Language:

english

File:

PDF, 508 KB

english, 2005

21

Chaotic Kabanov Formula for the Azéma Martingales

Nicolas Privault, Josep Lluís Solé and Josep Vives

Journal:

Year:

2000

Language:

english

File:

PDF, 1.46 MB

english, 2000

22

Stochastic deformation of integrable dynamical systems and random time symmetry

Privault, Nicolas, Zambrini, Jean-Claude

Journal:

Journal of Mathematical Physics

Year:

2010

Language:

english

File:

PDF, 422 KB

english, 2010

23

Stochastic Analysis with Financial Applications ||

Kohatsu-Higa, Arturo, Privault, Nicolas, Sheu, Shuenn-Jyi

Year:

2011

Language:

english

File:

PDF, 5.47 MB

english, 2011

24

Gaussian Estimates for the Solutions of Some One-dimensional Stochastic Equations

Nguyen, Tien Dung, Privault, Nicolas, Torrisi, Giovanni Luca

Journal:

Potential Analysis

Year:

2015

Language:

english

File:

PDF, 431 KB

english, 2015

25

[IEEE GLOBECOM 2014 - 2014 IEEE Global Communications Conference - Austin, TX, USA (2014.12.8-2014.12.12)] 2014 IEEE Global Communications Conference - Performance analysis of ambient RF energy harvesting: A stochastic geometry approach

Flint, Ian, Lu, Xiao, Privault, Nicolas, Niyato, Dusit, Wang, Ping

Year:

2014

Language:

english

File:

PDF, 224 KB

english, 2014

26

Equivalence of gradients on configuration spaces

PRIVAULT, Nicolas

Journal:

Random Operators and Stochastic Equations

Year:

1999

Language:

english

File:

PDF, 1.77 MB

english, 1999

27

Skorokhod and pathwise stochastic calculus with respect to an L² process

PRIVAULT, Nicolas, TUDOR, Ciprian

Journal:

Random Operators and Stochastic Equations

Year:

2000

Language:

english

File:

PDF, 1.64 MB

english, 2000

28

Performance Analysis of Ambient RF Energy Harvesting with Repulsive Point Process Modeling

Flint, Ian, Xiao, Lu, Privault, Nicolas, Niyato, Dusit, Wang, Ping

Journal:

IEEE Transactions on Wireless Communications

Year:

2015

Language:

english

File:

PDF, 1.76 MB

english, 2015

29

Self-Sustainable Communications with RF Energy Harvesting: Ginibre Point Process Modeling & Analysis

Lu, Xiao, Flint, Ian, Niyato, Dusit, Privault, Nicolas, Wang, Ping

Journal:

IEEE Journal on Selected Areas in Communications

Year:

2016

Language:

english

File:

PDF, 3.24 MB

english, 2016

30

De Rham–Hodge decomposition and vanishing of harmonic forms by derivation operators on the Poisson space

Privault, Nicolas

Journal:

Infinite Dimensional Analysis Quantum Probability and Related Topics

Year:

2016

Language:

english

File:

PDF, 382 KB

english, 2016

31

Pricing CIR Yield Options by Conditional Moment Matching

Prayoga, Adrian, Privault, Nicolas

Journal:

Asia-Pacific Financial Markets

Year:

2017

Language:

english

File:

PDF, 833 KB

english, 2017

32

Analysis of Heterogeneous Wireless Networks Using Poisson Hard-Core Hole Process

Flint, Ian, Kong, Han-Bae, Privault, Nicolas, Wang, Ping, Niyato, Dusit

Journal:

IEEE Transactions on Wireless Communications

Year:

2017

Language:

english

File:

PDF, 4.54 MB

english, 2017

33

[IEEE ICC 2017 - 2017 IEEE International Conference on Communications - Paris, France (2017.5.21-2017.5.25)] 2017 IEEE International Conference on Communications (ICC) - Modeling and analysis of wireless networks using poisson hard-core process

Kong, Han-Bae, Flint, Ian, Wang, Ping, Niyato, Dusit, Privault, Nicolas

Year:

2017

Language:

english

File:

PDF, 216 KB

english, 2017

34

[Springer Undergraduate Mathematics Series] Understanding Markov Chains (Examples and Applications) ||

Privault, Nicolas

Year:

2018

Language:

english

File:

PDF, 6.64 MB

english, 2018

35

Smoothness of Wigner densities on the affine algebra

Uwe Franz, Nicolas Privault, René Schott

Journal:

Comptes Rendus Mathematique

Year:

2003

Language:

french

File:

PDF, 113 KB

french, 2003

36

Superefficient drift estimation on the Wiener space

Nicolas Privault, Anthony Réveillac

Journal:

Comptes Rendus Mathematique

Year:

2006

Language:

french

File:

PDF, 164 KB

french, 2006

37

Moment identities for Poisson–Skorohod integrals and application to measure invariance

Nicolas Privault

Journal:

Comptes Rendus Mathematique

Year:

2009

Language:

english

File:

PDF, 135 KB

english, 2009

38

Blow-up and stability of semilinear PDEs with gamma generators

José Alfredo López-Mimbela, Nicolas Privault

Journal:

Journal of Mathematical Analysis and Applications

Year:

2005

Language:

english

File:

PDF, 209 KB

english, 2005

39

Large time behavior of reaction–diffusion equations with Bessel generators

José Alfredo López-Mimbela, Nicolas Privault

Journal:

Journal of Mathematical Analysis and Applications

Year:

2011

Language:

english

File:

PDF, 205 KB

english, 2011

40

Isoperimetric and related bounds on configuration spaces

Christian Houdré, Nicolas Privault

Journal:

Statistics & Probability Letters

Year:

2008

Language:

english

File:

PDF, 366 KB

english, 2008

41

A calculus on Fock space and its probabilistic interpretations

Nicolas Privault

Journal:

Bulletin des Sciences Mathématiques

Year:

1999

Language:

english

File:

PDF, 724 KB

english, 1999

42

Extended covariance identities and inequalities

Nicolas Privault

Journal:

Statistics & Probability Letters

Year:

2001

Language:

english

File:

PDF, 116 KB

english, 2001

43

Multiple stochastic integral expansions of arbitrary Poisson jump times functionals

Nicolas Privault

Journal:

Statistics & Probability Letters

Year:

1999

Language:

english

File:

PDF, 122 KB

english, 1999

44

Connection, parallel transport, curvature and energy identities on spaces of configurations

Nicolas Privault

Journal:

Comptes Rendus de l'Académie des Sciences - Series I - Mathematics

Year:

2000

File:

PDF, 151 KB

2000

45

An analytic approach to stochastic calculus

Nicolas Privault

Journal:

Comptes Rendus de l'Académie des Sciences - Series I - Mathematics

Year:

1998

File:

PDF, 358 KB

1998

46

A pointwise equivalence of gradients on configuration spaces

Nicolas Privault

Journal:

Comptes Rendus de l'Académie des Sciences - Series I - Mathematics

Year:

1998

Language:

english

File:

PDF, 368 KB

english, 1998

47

Clark formula and logarithmic Sobolev inequalities for Bernoulli measures

Fuqing Gao, Nicolas Privault

Journal:

Comptes Rendus Mathematique

Year:

2003

File:

PDF, 103 KB

2003

48

A different quantum stochastic calculus for the Poisson process

Nicolas Privault

Journal:

Probability Theory and Related Fields

Year:

1996

Language:

english

File:

PDF, 877 KB

english, 1996

49

Convex Ordering for Random Vectors using Predictable Representation

Marc Arnaudon, Jean-Christophe Breton, Nicolas Privault

Journal:

Potential Analysis

Year:

2008

Language:

english

File:

PDF, 484 KB

english, 2008

50

Stein estimation of Poisson process intensities

Nicolas Privault, Anthony Réveillac

Journal:

Statistical Inference for Stochastic Processes

Year:

2009

Language:

english

File:

PDF, 310 KB

english, 2009