68 citations · 231 across the 47 of their papers we have counts for
4 papers · 2 filters
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…