Academic Profile

Academic Profile

Prof Nicolas Privault

Professor, School of Physical & Mathematical Sciences
Programme Director, MSc in Analytics Programme

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
  • I. Polak and N. Privault. (2019). Cournot games with limited demand: from multiple equilibria to stochastic equilibrium. Applied Mathematics and Optimization, .
  • N. Privault. (2019). Third cumulant Stein approximation for Poisson stochastic integrals. Journal of Theoretical Probability, .
  • B. Kızıldemir and N. Privault. (2018). Supermodular ordering of binomial, Poisson and Gaussian random vectors by tree-based correlations. Probability and Mathematical Statistics, 38, 385-405.
  • N. Privault. (2018). Stein approximation for multidimensional Poisson random measures by third cumulant expansions. ALEA - Latin American Journal of Probability and Mathematical Statistics, 15, 1141-1161.
  • I. Flint, N. Privault, and G.L. Torrisi. (2018). Bounds in total variation distance for discrete-time processes on the sequence space. Potential Analysis, .

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