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<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
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<a href="index.html" style="color: black; text-decoration: none;" target="_parent">Nicolas Privault</a>
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<br>Division of Mathematical Sciences
<br>School of Physical and Mathematical Sciences
<br>Nanyang Technological University
<br>21 Nanyang Link, Singapore 637371
<br> Tel. +65 6513 7176
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nprivault at ntu.edu.sg
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<li id="foldheader"><font face="helvetica,arial,courier"><b>Preprints</b></font></li>
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<p><font face="helvetica,arial,courier">
(with J.Y. Nguwi)
<i>Generalization error bounds for two-layer neural networks with Lipschitz loss function</i>. <a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/generalization_error.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with C. Mau)
<i>Mixing rates for linear operators under infinitely divisible measures on Banach spaces</i>. <a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/mixing_rates.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
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(with Q. Huang)
<i>On the probabilistic solution of ODEs by Monte Carlo generation of random trees</i>.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/ODE_random_trees.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
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<li id="foldheader"><font face="helvetica,arial,courier"><b>Journal articles</b></font></li>
<ul id="foldinglist">
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<font face="helvetica,arial,courier">
(with Q. Huang)
<i>Probabilistic representation of ODE solutions with quantitative estimates</i>,
Journal of Mathematical Analysis and Applications
<b>555</b> (2026) 130195, 27 pp.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/ODE_solutions.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with Q. Liu)
<i>Gaussian fluctuations of generalized U-statistics and subgraph counting in the binomial random-connection model</i>,
Stochastic Processes and their Applications
<b>192</b> (2026) 104825, 21 pp.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/binomial_random-connection.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with Q. Huang)
<i>Binary Galton–Watson trees with mutations</i>,
Communications in Nonlinear Science and Numerical Simulation
<b>156</b> (2026) 109623, 22 pp.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/galton_watson_mutations.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with Q. Liu)
<i>Graph connectivity with fixed endpoints in the random-connection model</i>,
Probability in the Engineering and Informational Sciences
<b>39</b> (2025) 370-396.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/subgraph_counts_endpoints.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with Z. Wang, A. Shaa, and C. Guet)
<i>Deep self-consistent learning of local volatility</i>,
Journal of Computational Finance <b>29</b> (2025) 1-25.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/local_volatility.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with Q. Liu)
<i>Normal to Poisson phase transition for subgraph counting in the random-connection model</i>,
Electronic Journal of Probability
<b>30</b> (2025) No. 170, 32pp.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/phase_transition_random_connection.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with G. Penent)
<i>Semilinear fractional elliptic PDEs with gradient nonlinearities on open balls: existence of solutions and probabilistic representation</i>, Probability & Mathematical Statistics <b>44</b> (2024) 211-235.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/semilinear_fractional_PDEs.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Asymptotic analysis of k-hop connectivity in the 1D unit disk random graph model</i>,
Methodology and Computing in Applied Probability
<b>26</b> (2024).
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/unit_disk_k-hops.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with Q. Liu)
<i>Normal approximation of subgraph counts in the random-connection model</i>,
Bernoulli
<b>30</b> (2024) 3224-3250.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/cumulants_subgraph_counts.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.-C. Breton)
<i>Wasserstein distance estimates for jump-diffusion processes</i>,
Stochastic Processes and their Applications
<b>172</b> (2024) 104334.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/wasserstein.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with M. Khabou and A. Réveillac)
<i>Normal approximation of compound Hawkes functionals</i>, Journal of Theoretical Probability <b>37</b> (2024) 549-581.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/normal_approximation_hawkes.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with C. Mau)
<i>Mixing of linear operators under infinitely divisible measures on Banach spaces</i>,
Journal of Mathematical Analysis and Applications
<b>535</b> (2024) 128160, 26pp.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/mixing_linear_operators.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.Y. Nguwi and G. Penent)
<i>A deep branching solver for fully nonlinear partial differential equations</i>,
Journal of Computational Physics
<b>499</b> (2024) 112712.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/deep_branching_PDE_solver.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.Y. Nguwi)
<i>Numerical solution of the modified and non-Newtonian Burgers equations by stochastic coded trees</i>,
Japan Journal of Industrial and Applied Mathematics
<b>40</b> (2023) 1745-1763.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/burgers_coding_trees.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.-C. Breton, Y. El Khatib and J. Fan)
<i>A q-binomial extension of the CRR asset pricing model</i>,
Stochastic Models
<b>39</b> (2023) 772-796.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/q-binomial_CRR_model.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with G. Penent)
<i>Existence of solutions for nonlinear elliptic PDEs with fractional Laplacians on open balls</i>,
Communications on Pure and Applied Analysis
<b>22</b> (2023) 2646-2660.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/fractional_elliptic.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.Y. Nguwi)
<i>A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations</i>,
Partial Differential Equations and Applications
<b>4</b> (2023) Paper No. 37.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/path_dependent_PDE.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.Y. Nguwi and G. Penent)
<i>Numerical solution of the incompressible Navier-Stokes equation by a deep branching algorithm</i>,
Communications in Computational Physics
<b>34</b> (2023) 261-289.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/Navier_Stokes_deep_branching.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<a href="papers/figure_11.gif" target="_blank" title=""><img align="up" style="border: 0px solid ;" width="20" height="21" src="papers/figure_11.gif"></a><a href="papers/figure_12.gif" target="_blank" title=""><img align="up" style="border: 0px solid ;" width="20" height="21" src="papers/figure_12.gif"></a>
<br> <br>
(with J.Y. Nguwi and G. Penent)
<i>A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders</i>,
Journal of Evolution Equations
<b>23</b> (2023) Paper No. 22.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/fully_nonlinear_feynman-kac.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with I. Flint and G. L. Torrisi)
<i>The Malliavin-Stein method for normal random walks with dependent increments</i>,
Journal of Stochastic Analysis
<b>4</b> (2023) Art. 1.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/malliavin-stein_normal_random_walks.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with M. Thieullen)
<i>Closed-form modeling of neuronal spike train statistics by multivariate Hawkes processes</i>,
Physical Review E
<b>106</b> (2022) Paper No. 054410.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/multivariate_hawkes_cumulants.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/multivariate_hawkes.mw.zip" target="_blank">jointcumulants.mw</a>
-
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/multivariate_hawkes.nb.zip" target="_blank">jointcumulants.nb</a>
<br> <br>
(with G. Penent)
<i>Numerical evaluation of ODE solutions by Monte Carlo enumeration of Butcher series</i>,
BIT Numerical Mathematics
<b>62</b> (2022) 1921-1944.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/Butcher_ODEs.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/ODE.mw.zip" target="_blank" >ODE.mw</a>
-
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/ODE.nb.zip" target="_blank" >ODE.nb</a>
-
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/ODE.py.zip" target="_blank" >ODE.py</a>
<br> <br>
<i>Moments of Markovian growth-collapse processes</i>,
Advances in Applied Probability
<b>54</b> (2022) 1070-1093.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/markovian_growth_moments.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/moments.mw.zip" target="_blank" >moments.mw</a> -
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/moments.nb.zip" target="_blank" >moments.nb</a>
<br> <br>
(with S. Ly)
<i>G-expectation approach to stochastic ordering</i>,
Frontiers of Mathematical Finance
<b>1</b> (2022) 343-374.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/G-stochastic_ordering.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with G. Serafin)
<i>Berry-Esseen bounds for functionals of independent random variables</i>,
Electronic Journal of Probability
<b>27</b> (2022) No. 71, 37pp.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/berry-esseen_bounds.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with G. Penent)
<i>Existence and probabilistic representation of the solutions of semilinear parabolic PDEs with fractional Laplacians</i>,
Stochastics and Partial Differential Equations: Analysis and Computations
<b>10</b> (2022) 446-474.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/fractional_PDE.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with G. Serafin)
<i>Normal approximation for generalized U-statistics and weighted random graphs</i>, Stochastics and Stochastics Reports
<b>94</b> (2022) 432-458.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/weighted_random_graphs.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.Y. Nguwi)
<i>A constructive approach to existence of equilibria in time-inconsistent stochastic control problems</i>, SIAM Journal on Control and Optimization
<b>60</b> (2022) 674-698.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/time-inconsistent_stochastic_control.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.Y. Nguwi)
<i>Characterization of stochastic equilibrium controls by the Malliavin calculus</i>, Stochastics & Dynamics <b>22</b> (2022) Paper No. 2150054, 1-32.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/malliavin_equilibrium_controls.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.-C. Breton)
<i>Wasserstein distance estimates for stochastic integrals by forward-backward stochastic calculus</i>, Potential Analysis
<b>56</b> (2022) 1-20.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/wasserstein_forward-backward.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Recursive computation of the Hawkes cumulants</i>,
Statistics & Probability Letters <b>177</b> (2021) Paper No. 109161, 1-11.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/hawkes_cumulants.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/joint_moments.mw.zip" target="_blank" >jointmoments.mw</a> -
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/joint_moments.nb.zip" target="_blank" >jointmoments.nb</a>
<br> <br>
(with S. Ly)
<i>Stochastic ordering by g-expectations</i>,
Probability, Uncertainty and Quantitative Risk
<b>6</b> (2021) 61-98.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/g-expectation_ordering.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with I. Flint)
<i>Computation of coverage probabilities in a spherical germ-grain model</i>,
Methodology and Computing in Applied Probability
<b>23</b> (2021) 491-502.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/germ-grain_model.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Cardinality estimation for random stopping sets based on Poisson point processes</i>,
ESAIM Probability & Statistics
<b>25</b> (2021) 87-108.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/random_stopping_sets.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/R_codes.zip" target="_blank" >codes.R</a>
<br> <br>
(with T. Teoh)
<i>Second-order multi-object filtering with target interaction using determinantal point processes</i>,
Mathematics of Control, Signal and Systems
<b>32</b> (2021) 569-609.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/determinantal_multi-object_filtering.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with L. Wang)
<i>Stochastic SIR Lévy jump model with heavy-tailed increments</i>,
Journal of Nonlinear Science
<b>31</b> (2021) Article No. 15, 28 pp.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/SIR_Levy_jump.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Nonstationary shot-noise modeling of neuron membrane potentials by closed-form moments and Gram-Charlier expansions</i>,
Biological Cybernetics
<b>114</b> (2020) 499-518.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/neuron_membrane_potentials.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with I. Flint and G. L. Torrisi)
<i>Bounds in total variation distance for discrete-time processes on the sequence space</i>, Potential Analysis
<b>52</b> (2020) 223-243.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/sequence_space.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.-C. Breton)
<i>Integrability and regularity of the flow of stochastic differential equations with jumps</i>, Theory of Probability & Its Applications
<b>65</b> (2020) 103-125.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/flow_SDE_with_jumps.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with I. Polak)
<i>Cournot games with limited demand: from multiple equilibria to stochastic equilibrium</i>,
Applied Mathematics and Optimization
<b>81</b> (2020) 195-220.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/cournot_game.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with G. Serafin)
<i>Normal approximation for sums of weighted U-statistics - application to Kolmogorov bounds in random subgraph counting</i>, Bernoulli
<b>26</b> (2020) 587-615.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/normal_approximation_random_graph.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Moments of k-hop counts in the random-connection model</i>, Journal of Applied Probability
<b>56</b> (2019) 1106-1121.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/k-hop-counts.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with I. Flint and G. L. Torrisi)
<i>Functional inequalities for marked point processes</i>,
Electronic Journal of Probability
<b>24</b> (2019) No. 116, 40pp.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/poincare_transportation_cost.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with S.C.P. Yam and Z. Zhang)
<i>Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates</i>,
Stochastic Processes and their Applications
<b>129</b> (2019) 3376-3405.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/poisson_discretization.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Third cumulant Stein approximation for Poisson stochastic integrals</i>,
Journal of Theoretical Probability
<b>32</b> (2019) 1461-1481.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/third_cumulant.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Stein normal approximation for multidimensional Poisson random measures by third cumulant expansions</i>,
ALEA - Latin American Journal of Probability and Mathematical Statistics
<b>15</b> (2018) 1141-1161.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/third_cumulant_multidimensional.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with B. Kızıldemir)
<i>Supermodular ordering of Poisson and binomial random vectors by tree-based correlations</i>, Probability & Mathematical Statistics <b>38</b> (2018) 385-405.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/moebius_inversion.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with X. Lu, D. Niyato, H. Jiang, and P. Wang)
<i>Managing physical layer security in wireless cellular networks: a cyber insurance approach</i>, IEEE Journal on Selected Areas in Communications <b>36</b> (2018) 1648-1661.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/cyber_insurance.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Extended Mellin integral representations for the absolute value of the gamma function</i>,
Analysis
<b>38</b> (2018) 11-20.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/mellin_representation.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with H.-B. Kong, I. Flint, P. Wang, and D. Niyato)
<i>Fog Radio Access Networks: Ginibre Point Process Modeling and Analysis</i>,
IEEE Transactions on Wireless Communications <b>17</b> (2018) 5564-5580.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/Fog_Radio_Access_Networks_Ginibre_Point_Process_Modeling_and_Analysis.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with G. Serafin)
<i>Stein approximation for functionals of independent random sequences</i>,
Electronic Journal of Probability
<b>23</b> (2018) No. 4, 34 pp.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/stein_random_sequences.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with X. Wei)
<i>Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching</i>,
ASTIN Bulletin - The Journal of the International Actuarial Association
<b>48</b> (2018) 171-196.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/variable_annuities.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/GMDB_GMMB_VaR_CTE.zip" target="_blank" >VaR-CTE.c</a>
<br> <br>
(with Y. Liu)
<i>A recursive algorithm for selling at the ultimate maximum in regime-switching models</i>,
Methodology and Computing in Applied Probability
<b>20</b> (2018) 369-384.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/recursive_algorithm.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with I. Polak)
<i>A stochastic newsvendor game with dynamic retail prices</i>,
Journal of Industrial and Management Optimization
<b>14</b> (2018) 731-742.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/newsvendor_game.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with I. Flint, H.-B. Kong, P. Wang, and D. Niyato)
<i>Analysis of heterogeneous wireless networks using Poisson hard-core hole process</i>,
IEEE Transactions on Wireless Communications <b>16</b> (2017) 7152-7167.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/poisson_hard_core.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with Y. Liu)
<i>An integration by parts formula in a Markovian regime switching model and application to sensitivity analysis</i>,
Stochastic Analysis and Applications <b>35</b> (2017) 919-940.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/malliavin_markov.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with A. Prayoga)
<i>Pricing CIR yield options by conditional moment matching</i>,
Asia-Pacific Financial Markets <b>24</b> (2017) 19-38.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/CIR_model.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/stratified_gamma_fixedasian_CIR.zip" target="_blank" >CIR.c</a>
<br> <br>
(with I. Flint, H.-B. Kong, P. Wang, and D. Niyato)
<i>Wireless energy harvesting sensor networks: Boolean-Poisson modeling and analysis</i>,
IEEE Transactions on Wireless Communications <b>16</b> (2017) 7108-7122.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/boolean-poisson_harvesting_sensors.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with Y. Liu)
<i>Selling at the ultimate maximum in a regime-switching model</i>,
International Journal of Theoretical and Applied Finance <b>20</b> (2017) 27 pp.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/regime_switching.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with Q.H. She)
<i>Conditional Stein approximation for Itô and Skorohod integrals</i>,
Statistics & Probability Letters <b>128</b> (2017) 1-7.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/conditional_stein.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with H.-B. Kong, I. Flint, P. Wang, and D. Niyato)
<i>Exact performance analysis of ambient RF energy harvesting wireless sensor networks with Ginibre point process</i>, IEEE Journal on Selected Areas in Communications <b>34</b> (2016) 3769-3784.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/exact_performance.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Weitzenböck and Clark-Ocone decompositions for differential forms on the space of normal martingales</i>,
Séminaire de Probabilités XLVIII, Lecture Notes in Mathematics <b>2168</b> (2016)
231-265, Springer.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/differential_forms.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Poisson sphere counting processes with random radii</i>,
ESAIM Probability & Statistics
<b>20</b> (2016) 417-431.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/sphere_counting.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with X. Lu, I. Flint, D. Niyato, and P. Wang)
<i>Self-sustainable communications with RF energy harvesting: Ginibre point process modeling and analysis</i>.
IEEE Journal on Selected Areas in Communications
<b>34</b> (2016) 1518-1535.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/self-sustainable.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>De Rham-Hodge decomposition and vanishing of harmonic forms by derivation operators on the Poisson space</i>.
Infinite Dimensional Analysis, Quantum Probability and Related Topics
<b>19</b> (2016).
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/poisson_forms.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.D. Yu) <i>Stratified approximations for the pricing of options on averages</i>.
Journal of Computational Finance <b>19</b> (2016) 95-113.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/stratified.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/stratified_lognormal_fixedasian_C.zip" target="_blank" >Asian.c</a>
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/stratified_lognormal_fixedasian_matlab.zip" target="_blank" >Asian.m</a>
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/stratified_lognormal_fixedasian_R.zip" target="_blank" >Asian.R</a>
<br> <br>
<i>Mixing of Poisson random measures under interacting transformations</i>.
Stochastics <b>88</b> (2016) 321-335.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/poisson_mixing.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with X.F. Yang and J.-C. Zambrini)
<i>Large deviations for Bernstein bridges</i>.
Stochastic Processes and their Applications <b>126</b> (2016) 1285-1305.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/bernstein_bridges.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with N. Lim)
<i>Analytic bond pricing for short rate dynamics evolving on matrix Lie groups</i>. Quantitative Finance <b>16</b> (2016) 119-129.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/matrix_lie_groups.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with Q.H. She)
<i>Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model</i>.
Applied Mathematics Letters <b>53</b> (2016) 77-84.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/hypergeometric.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with L. Decreusefond, I. Flint, and G. L. Torrisi)
<i>Stochastic dynamics of determinantal processes by integration by parts</i>.
Communications on Stochastic Analysis <b>9</b> (2015) 375-399.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/determinantal_dynamics.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Laplace transform identities for the volume of stopping sets based on Poisson point processes</i>.
Advances in Applied Probability <b>47</b> (2015) 919-933.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/stopping_sets.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with Q.H. She)
<i>Conditionally Gaussian stochastic integrals</i>.
Comptes Rendus Mathematique <b>353</b> (2015) 1153-1158.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/conditionally.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with S. Guindon) <i>Closed-form modeling of evolutionary rates by exponential Brownian functionals</i>.
Journal of Mathematical Biology <b>71</b> (2015) 1387-1409.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/evolutionary.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with H.L. Wu)
<i>Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals</i>.
Taiwanese Journal of Mathematics <b>19</b> (2015) 1541-1559.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/fredholm.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with I. Flint, X. Lu, D. Niyato, and P. Wang)
<i>Performance analysis of ambient RF energy harvesting with repulsive point process modeling</i>.
IEEE Transactions on Wireless Communications <b>14</b> (2015) 5402-5416.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/ambient_harvesting.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with T.D. Nguyen and G. L. Torrisi)
<i>Gaussian estimates for the solutions of some one-dimensional stochastic equations</i>. Potential Analysis <b>43</b> (2015) 289-311.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/stochastic_equations.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with A. Alvarez and J.A. López-Mimbela)
<i>Blowup estimates for a family of semilinear SPDEs with time-dependent coefficients</i>. Differential Equations & Applications
<b>7</b> (2015) 201-219.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/time_dependent.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with G. L. Torrisi)
<i>The Stein and Chen-Stein methods for functionals of non-symmetric Bernoulli processes</i>. ALEA - Latin American Journal of Probability and Mathematical Statistics <b>12</b> (2015) 309-356.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/non-symmetric.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Stein approximation for Itô and Skorohod integrals by Edgeworth type expansions</i>.
Electronic Communications in Probability <b>20</b> (2015) No. 35, 10 pp.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/edgeworth.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Cumulant operators for Lie-Wiener-Itô-Poisson stochastic integrals</i>.
Journal of Theoretical Probability <b>28</b> (2015) 269-298.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/cumulants_lie_wiener.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with B. Kızıldemir)
<i>Supermodular ordering of Poisson arrays</i>.
Statistics & Probability Letters <b>98</b> (2015) 136-143.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/supermodular.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with X.F. Yang and J.-C. Zambrini)
<i>Feynman-Kac formula for Lévy processes and semiclassical (Euclidean) momentum representation</i>.
Markov Processes and Related Fields <b>20</b> (2014) 577-600.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/feynman-kac.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with T.R. Teng)
<i>Hedging in bond markets by the Clark-Ocone formula</i>.
Communications on Stochastic Analysis <b>8</b> (2014) 269-288.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/bond_hedging.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.-C. Breton)
<i>Factorial moments of point processes</i>.
Stochastic Processes and their Applications
<b>124</b> (2014) 3412-3428.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/factorial.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with G. L. Torrisi)
<i>Probability approximation by Clark-Ocone covariance representation</i>.
Electronic Journal of Probability <b>18</b> (2013), no. 91.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/stein_clark.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.-C. Breton and B. Laquerrière)
<i>Convex comparison inequalities for non-Markovian stochastic integrals</i>. Stochastics <b>85</b> (2013) 789-806.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/nonmarkovian.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with W.I. Uy) <i>
Monte Carlo computation of the Laplace transform of exponential Brownian functionals</i>.
Methodology and Computing in Applied Probability
<b>15</b> (2013) 511-524.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/computation.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Cumulant operators and moments of the Itô and Skorohod integrals</i>.
C. R. Acad. Sci. Paris <b>351</b> (2013) 397-400.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/cumulants.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with Y.T. Ma)
<i>Convex concentration for some additive functionals of jump stochastic differential equations</i>.
Acta Mathematica Sinica
<b>29</b> (2013) 1449-1458.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/additive.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with D.C. Yang)
<i>Infinite divisibility of interpolated gamma powers</i>.
Journal of Mathematical Analysis and Applications
<b>405</b> (2013) 373-387.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/GGC.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with Y.J. Lee and H.H. Shih)
<i>Clark-Ocone formula by the <i>S</i>-transform on the Poisson white noise space</i>.
Communications on Stochastic Analysis <b>6</b> (2012) 513-524.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/poisson_clark.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Moments of Poisson stochastic integrals with random integrands</i>.
Probability & Mathematical Statistics <b>32</b> (2012) 227-239.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/poisson_moments.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Laplace transform identities and measure-preserving transformations on the Lie-Wiener-Poisson spaces</i>.
Journal of Functional Analysis <b>263</b> (2012) 2993-3023.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/laplace.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Invariance of Poisson measures under random transformations</i>.
Annales de l'Institut Henri Poincaré <b>48</b> (2012) 947-972.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/invariance_poisson.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Girsanov identities for Poisson measures under quasi-nilpotent transformations</i>.
Annals of Probability <b>40</b> (2012), 1009-1040.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/girsanov_identities.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with T.R. Teng)
<i>Risk-neutral hedging of interest rate derivatives</i>.
Risk and Decision Analysis <b>3</b>
(2012) 201-209.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/bond.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with A. Réveillac) <i>SURE shrinkage of Gaussian paths and signal identification</i>.
ESAIM Probability & Statistics <b>15</b> (2011), 180-196.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/sure.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with G. L. Torrisi)
<i> Density estimation of functionals of spatial point processes with application to wireless networks</i>.
SIAM Journal on Mathematical Analysis
<b>43</b> (2011) 1311-1344.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/wireless.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.A. López-Mimbela) <i>Large time behavior of reaction-diffusion equations with Bessel generators</i>.
Journal of Mathematical Analysis and Applications
<b>383</b> (2011) 560-572.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/bessel.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with C. Pintoux) <i>
The Dothan pricing model revisited</i>.
Mathematical Finance
<b>21</b> (2011) 355-363.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/dothan.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Generalized Bell polynomials and the combinatorics of Poisson central moments</i>.
Electronic Journal of Combinatorics
<b>18</b> (2011), Paper 54.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/central_moments.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i> Random Hermite polynomials and Girsanov identities on the Wiener space</i>. Infinite Dimensional Analysis, Quantum Probability and Related Topics
<b>13</b> (2010) 663-675.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/hermite.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with B. Laquerrière)
<i> Deviation inequalities for exponential jump-diffusion processes</i>.
Theory of Stochastic Processes <b>16</b> (2010) 67-72.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/exponential.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.-C. Zambrini) <i> Stochastic deformation of integrable dynamical systems and random time symmetry</i>.
Journal of Mathematical Physics <b>51</b> (2010).
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/deformation.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Covariance identities and mixing of random transformations on the Wiener space</i>.
Communications on Stochastic Analysis <b>4</b> (2010) 299-309.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/mixing.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with C. Pintoux)
<i> A direct solution to the Fokker-Planck equation for exponential Brownian functionals</i>.
Analysis and Applications <b>8</b> (2010) 287-304.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/fokker_planck.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with D. David) <i>
Numerical computation of Theta in a jump-diffusion model by integration by parts</i>. Quantitative Finance <b>9</b> (2009) 727-735.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/theta.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with S. Loisel)
<i>Sensitivity analysis and density estimation for finite-time ruin probabilities</i>.
Journal of Computational and Applied Mathematics <b>230</b> (2009) 107-120.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/density.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>Moment identities for Skorohod integrals on the Wiener space and applications</i>.
Electronic Communications in Probability <b>14</b> (2009) 116-121.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/moments.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with A. Réveillac) <i>Stein estimation of Poisson process intensities</i>.
Statistical Inference for Stochastic Processes <b>12</b> (2009)
37-53.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/intensity.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>
Moment identities for Poisson-Skorohod integrals and
application to measure invariance</i>.
C. R. Acad. Sci. Paris <b>347</b> (2009) 1071-1074.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/invariance.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
<i>A probabilistic interpretation to the symmetries of a discrete heat equation</i>.
Séminaire de Probabilités XLI, Lecture Notes in Mathematics <b>1934</b>
(2008) 379-399, Springer.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/symmetries.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with M. Arnaudon and J.-C. Breton)
<i>Convex ordering for random vectors using predictable representation</i>.
Potential Analysis <b>29</b> (2008) 327-349.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/convex_ordering.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
- <a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/erratum.pdf" target="_blank" >erratum</a>
<br> <br>
(with C. Houdré) <i>Isoperimetric and related bounds on configuration spaces</i>. Statistics & Probability Letters <b>78</b> (2008) 2154-2164.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/isoperimetric.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with A. Réveillac) <i>Stein estimation for the drift of Gaussian processes using the Malliavin calculus</i>.
Annals of Statistics <b>36</b> (2008) 2531-2550.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/stein_estimation.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.-C. Breton)
<i>Bounds on option prices in point process diffusion models</i>.
International Journal of Theoretical and Applied Finance
<b>11</b> (2008) 597-610.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/bounds.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with X. Wei) <i>Integration by parts for point processes and Monte Carlo estimation</i>.
Journal of Applied Probability <b>44</b> (2007) 806-823.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/estimation.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.-C. Breton) <i>Convex comparison inequalities for exponential jump-diffusion processes</i>.
Communications on Stochastic Analysis <b>1</b> (2007) 263-277.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/convexexponential.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.-C. Breton and C. Houdré) <i>Dimension free and infinite variance tail estimates on Poisson space</i>.
Acta Applicandae Mathematicae <b>95</b> (2007) 151-203.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/dimension.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with Th. Klein and Y.T. Ma) <i>Convex concentration inequalities and forward-backward stochastic calculus</i>.
Electronic Journal of Probability <b>11</b> (2006) 486-512.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/convex.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with A. Réveillac) <i>
Superefficient drift estimation on the Wiener space</i>.
C. R. Acad. Sci. Paris <b>343</b> (2006) 607-612.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/stein.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with X. Zhang) <i>Deviation inequalities and the law of iterated logarithm on the path space over a loop group</i>. Stochastics <b>77</b> (2005) 515-536.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/loop.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.A. López-Mimbela) <i>Blow-up and stability of semilinear PDE's with gamma generators</i>. Journal of Mathematical Analysis and Applications <b>307</b> (2005) 181-205.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/gamma.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.-C. Zambrini) <i>Euclidean quantum mechanics in the momentum representation</i>. Journal of Mathematical Physics <b>46</b> (2005).
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/euclidean.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with U. Franz and R. Schott) <i>Non-Gaussian Malliavin calculus on real Lie algebras</i>.
Journal of Functional Analysis <b>218</b> (2005) 347-371.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/wigner.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with X. Wei) <i>A Malliavin calculus approach to sensitivity analysis in insurance</i>. Insurance: Mathematics and Economics
<b>35</b> (2004) 679-690.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/insurance.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with J.-C. Zambrini) <i>Markovian bridges and reversible
diffusions with jumps</i>. Annales de l'Institut Henri Poincaré
<b>40</b> (2004) 599-633.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/bridges.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with A. Joulin) <i>Functional inequalities for discrete gradients and applications to the
geometric distribution</i>. ESAIM Probability & Statistics
<b>8</b> (2004) 87-101.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/functional.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with U. Franz) <i>Quasi-invariance formulas for components of quantum Lévy processes</i>. Infinite Dimensional Analysis, Quantum Probability and Related
Topics <b>7</b> (2004) 131-145.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/quasi.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with Y. El Khatib) <i>Computations of Greeks in a market with jumps via the Malliavin calculus</i>. Finance & Stochastics <b>8</b> (2004) 161-179.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/greeks.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with H. Ouerdiane) <i>Asymptotic estimates for white noise distributions</i>.
C. R. Acad. Sci. Paris <b>338</b> (2004) 799-804.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/wn.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with Y. El Khatib) <i>Hedging in complete markets driven by
normal martingales</i>. Applicationes Mathematicae
<b>30</b> (2003) 147-172.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/hedging.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with F.Q. Gao) <i>Clark formula and
logarithmic Sobolev inequalities for Bernoulli measures</i>. C. R. Acad. Sci. Paris
<b>336</b> (2003) 51-56.
<a href="papers/bernoulli.pdf" style="color: rgb(21, 40, 199); text-decoration: none;" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with M. Mensi) <i>Conditional calculus and enlargement of
filtration on Poisson space</i>. Stochastic Analysis and
Applications <b>21</b> (2003) 183-204.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/conditional.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with U. Franz and R. Schott) <i>Smoothness of Wigner densities on the affine algebra</i>.
C. R. Acad. Sci. Paris
<b>337</b> (2003) 609-614.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/smoothness.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br>
(with C. Houdré) <i>Concentration and
deviation inequalities in infinite dimensions via covariance representations</i>. Bernoulli <b>8</b> (2002) 697-720.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="papers/deviation.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br> <br><i>Distribution-valued iterated gradient and chaotic
decompositions of Poisson jump times functionals</i>. Publicacions Matemàtiques
<b>46</b> (2002) 27-48.
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<br>
</font>
</p>
</ul>