| Assoc Prof Nicolas Privault
Associate Professor
Division of Mathematical Sciences
School of Physical & Mathematical Sciences
College of Science
Email: NPRIVAULT@ntu.edu.sg
Phone: (+65)65137176
Office: SPMS-MAS-05-43 |
| Education |
- PhD(Hons) (Probability) University of Paris VI 1994
- MSc (Telecomm Eng) ENST 1990
- MSc(Hons) (Maths) (DEA) University of Paris VI 1989
- MA (Phys) (Maitrise) University of Orleans 1988
- MA(Hons) (Maths) (Maitrise) University of Orleans 1988
- BA (Phys) University of Orleans 1987
- BA(Hons) (Maths) (Licence) University of Orleans 1987
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| 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 |
| Research Grant |
- Academic Research Fund Tier 1 (2012-)
- Start Up Grant (2010-)
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| Current Projects |
- Construction of Derivation Operators for Spatial Poisson Processes and Applications to Portfolio Hedging and Control
- Random Transformation of Poisson Measures and Application to the Monte Carlo Method
| Selected Publications | - N. Privault and D.C. Yang. (2013). Infinite divisibility of interpolated gamma powers. Journal of Mathematical Analysis and Applications, 405(2), 373–387.
- N. Privault. (2013). Workshop on Stochastic Analysis for Poisson Point Processes: Combinatorics, moments and quasi-invariance for Poisson random integrals. Malliavin Calculus, Wiener-Ito Chaos Expansions and Stochastic Geometry (pp. 11-14)Oberwolfach Reports: Mathematisches Forschungsinstitut Oberwolfach.
- Yuh-Jia Lee, Nicolas Privault and Hsin-Hung Shih. (2012). Clark-Ocone formula by the S-transform on the Poisson white noise space. Communications on Stochastic Analysis, 6(4), 513-524.
- Nicolas Privault. (2012). Laplace transform identities and measure-preserving transformations on the Lie–Wiener–Poisson spaces. Journal of Functional Analysis, 263(10), 2993–3023.
- Nicolas Privault. (2012). Invariance of Poisson measures under random transformations. Annales de l'Institut Henri Poincare Probabilites & Statistiques, 48(4), 947-97.
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