Academic Profile

Academic Profile

Prof Nicolas Privault

Professor, School of Physical & Mathematical Sciences - Division of Mathematical Sciences
Programme Director, MSc in Analytics Programme, School of Physical and Mathematical Sciences (SPMS)

Email: nprivault@ntu.edu.sg
Prof Nicolas Privault

Biography
Prior to joining NTU, Nicolas Privault had been teaching at the universities of Evry, La Rochelle, and Poitiers in France.
Research Interests
Stochastic analysis, probability, mathematical finance
Current Projects
  • Computational Methods for Fredholm Determinants and Discrete Random Networks
  • Construction of Derivation Operators for Spatial Poisson Processes and Applications to Portfolio Hedging and Control
  • Construction of Two-Dimensional Stochastic Bridges and Applications in Image Analysis
  • Counting and Weighing the Isomorphic Sub-Graphs of a Random Graph by Normal Approximation and Multiple Stochastic Integrals
  • Determinantal point process for modelling RF energy harvesting networks
  • Feynman-Kac Stochastic Particle Models and their Applications to Automotive Active Safety 360° Multisensor Fusion Networks
  • Functional Inequalities for Spatial Point Processes and Applications
  • Probabilistic Representations of Nonlinear PDEs Using Backward Stochastic Differential Equations - Application to Blow-up and Stability
  • Robust Impulse Control with Ambiguity Aversion and Applications
  • Stochastic Analysis for Point Processes and Applications to Wireless Networks
Selected Publications
  • J.-C. Breton and N. Privault. (2020). Integrability and regularity of the flow of stochastic differential equations with jumps. Theory of Probability and its Applications, .
  • N. Privault and G. Serafin. (2020). Normal approximation for sums of weighted U -statistics - application to Kolmogorov bounds in random subgraph counting. Bernoulli , 26(1), 587-615.
  • N. Privault. (2020). Moments of k-hop counts in the random connection model. Journal of Applied Probability, 56(4), 1106-1121.
  • I. Flint and N. Privault. (2019). Computation of coverage probabilities in non-Poissonian Boolean models. Methodology and Computing in Applied Probability, .
  • I. Flint, N. Privault, and G.L. Torrisi. (2019). Functional inequalities for marked point processes. Electronic Journal of Probability, 24(166), 40.

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