68 citations · 231 across the 47 of their papers we have counts for
34 papers · 1 filter
Convergence rates for the extreme value theorem via Stein's method
B. Costacèque, N. Privault
We derive convergence rates for the approximation of the Fréchet distribution with parameter by sequences of renormalized maxima in the extreme value theore…
Normal approximation of subgraph counts in the random-connection model
Qingwei Liu, Nicolas Privault
This paper derives normal approximation results for subgraph counts written as multiparameter stochastic integrals in a random-connection model based on a Poisson point process. By…
Wasserstein distance estimates for jump-diffusion processes
Jean-Christophe Breton, Nicolas Privault
We derive Wasserstein distance bounds between the probability distributions of a stochastic integral (Itô) process with jumps and a jump-diffusion process $(X^…
Normal approximation of compound Hawkes functionals
Mahmoud Khabou, Nicolas Privault, Anthony Reveillac
We derive quantitative bounds in the Wasserstein distance for the approximation of stochastic integrals with respect to Hawkes processes by a normally distributed random variable.…
Asymptotic analysis of k-hop connectivity in the 1D unit disk random graph model
Nicolas Privault
We propose an algorithm for the closed-form recursive computation of joint moments and cumulants of all orders for k-hop counts in the 1D unit disk random graph model with Poisson…
A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders
Jiang Yu Nguwi, Guillaume Penent, Nicolas Privault
We present an algorithm for the numerical solution of nonlinear parabolic partial differential equations. This algorithm extends the classical Feynman-Kac formula to fully nonlinea…