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Breton JC, El-Khatib Y, Fan J, Privault N. A q-binomial extension of the CRR asset pricing model. STOCH MODELS 2023. [DOI: 10.1080/15326349.2023.2173231] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 02/10/2023]
Affiliation(s)
| | | | - Jun Fan
- University of Nottingham Ningbo, China
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Khabou M, Privault N, Réveillac A. Normal Approximation of Compound Hawkes Functionals. J THEOR PROBAB 2023. [DOI: 10.1007/s10959-022-01233-6] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [What about the content of this article? (0)] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 01/09/2023]
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Privault N, Thieullen M. Closed-form modeling of neuronal spike train statistics using multivariate Hawkes cumulants. Phys Rev E 2022; 106:054410. [PMID: 36559454 DOI: 10.1103/physreve.106.054410] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 02/14/2022] [Accepted: 10/27/2022] [Indexed: 06/17/2023]
Abstract
We derive exact analytical expressions for the cumulants of any orders of neuronal membrane potentials driven by spike trains in a multivariate Hawkes process model with excitation and inhibition. Such expressions can be used for the prediction and sensitivity analysis of the statistical behavior of the model over time and to estimate the probability densities of neuronal membrane potentials using Gram-Charlier expansions. Our results are shown to provide a better alternative to Monte Carlo estimates via stochastic simulations and computer codes based on combinatorial recursions are included.
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Affiliation(s)
- Nicolas Privault
- Division of Mathematical Sciences, School of Physical and Mathematical Sciences, Nanyang Technological University, 21 Nanyang Link, Singapore 637371, Singapore and LPSM - UMR 8001, Sorbonne Université, 4 Place Jussieu, 75252 Paris, France
| | - Michèle Thieullen
- Division of Mathematical Sciences, School of Physical and Mathematical Sciences, Nanyang Technological University, 21 Nanyang Link, Singapore 637371, Singapore and LPSM - UMR 8001, Sorbonne Université, 4 Place Jussieu, 75252 Paris, France
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Privault N, Serafin G. Berry-Esseen bounds for functionals of independent random variables. ELECTRON J PROBAB 2022. [DOI: 10.1214/22-ejp795] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
Affiliation(s)
- Nicolas Privault
- Division of Mathematical Sciences, Nanyang Technological University, SPMS-MAS-05-43, 21 Nanyang Link Singapore 637371
| | - Grzegorz Serafin
- Faculty of Pure and Applied Mathematics, Wrocław University of Science and Technology, Ul. Wybrzeże Wyspiańskiego 27, Wrocław, Poland
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Nguwi JY, Privault N. Characterization of stochastic equilibrium controls by the Malliavin calculus. STOCH DYNAM 2021. [DOI: 10.1142/s0219493721500544] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/18/2022]
Abstract
We derive a characterization of equilibrium controls in continuous-time, time-inconsistent control (TIC) problems using the Malliavin calculus. For this, the classical duality analysis of adjoint BSDEs is replaced with the Malliavin integration by parts. This results into a necessary and sufficient maximum principle which is applied to a linear-quadratic TIC problem, recovering previous results obtained by duality analysis in the mean-variance case, and extending them to the linear-quadratic setting. We also show that our results apply beyond the linear-quadratic case by treating the generalized Merton problem.
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Affiliation(s)
- Jiang Yu Nguwi
- Division of Mathematical Sciences, School of Physical and Mathematical Sciences, 21 Nanyang Link, Singapore 637371, Singapore
| | - Nicolas Privault
- Division of Mathematical Sciences, School of Physical and Mathematical Sciences, 21 Nanyang Link, Singapore 637371, Singapore
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Abstract
We construct unbiased estimators for the distribution of the number of points inside random stopping sets based on a Poisson point process. Our approach is based on moment identities for stopping sets, showing that the random count of points inside the complement S̅ of a stopping set S has a Poisson distribution conditionally to S. The proofs do not require the use of set-indexed martingales, and our estimators have a lower variance when compared to standard sampling. Numerical simulations are presented for examples such as the convex hull and the Voronoi flower of a Poisson point process, and their complements.
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Privault N. Nonstationary shot noise modeling of neuron membrane potentials by closed-form moments and Gram-Charlier expansions. Biol Cybern 2020; 114:499-518. [PMID: 32955621 DOI: 10.1007/s00422-020-00844-8] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Key Words] [MESH Headings] [Grants] [Track Full Text] [Subscribe] [Scholar Register] [Received: 01/28/2020] [Accepted: 09/04/2020] [Indexed: 06/11/2023]
Abstract
We present exact analytical expressions of moments of all orders for neuronal membrane potentials in the multiplicative nonstationary Poisson shot noise model. As an application, we derive closed-form Gram-Charlier density expansions that show how the probability density functions of potentials in such models differ from their Gaussian diffusion approximations. This approach extends the results of Brigham and Destexhe (Preprint, 2015a; Phys Rev E 91:062102, 2015b) by the use of exact combinatorial expressions for the moments of multiplicative nonstationary filtered shot noise processes. Our results are confirmed by stochastic simulations and apply to single- and multiple-noise-source models.
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Affiliation(s)
- Nicolas Privault
- Division of Mathematical Sciences, School of Physical and Mathematical Sciences, Nanyang Technological University, 21 Nanyang Link, Singapore, 637371, Singapore.
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Breton JC, Privault N. Integrability and Regularity of the Flow of Stochastic Differential Equations with Jumps. Theory Probab Appl 2020. [DOI: 10.1137/s0040585x97t989830] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [What about the content of this article? (0)] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 11/20/2022]
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Privault N, Serafin G. Normal approximation for sums of weighted $U$-statistics – application to Kolmogorov bounds in random subgraph counting. BERNOULLI 2020. [DOI: 10.3150/19-bej1141] [Citation(s) in RCA: 6] [Impact Index Per Article: 1.5] [Reference Citation Analysis] [What about the content of this article? (0)] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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Flint I, Privault N, Torrisi GL. Functional inequalities for marked point processes. ELECTRON J PROBAB 2019. [DOI: 10.1214/19-ejp369] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [What about the content of this article? (0)] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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Privault N, Yang X, Zambrini JC. Large deviations for Bernstein bridges. Stoch Process Their Appl 2016. [DOI: 10.1016/j.spa.2015.11.003] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [What about the content of this article? (0)] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 10/22/2022]
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Abstract
We derive Laplace transform identities for the volume content of random stopping sets based on Poisson point processes. Our results are based on anticipating Girsanov identities for Poisson point processes under a cyclic vanishing condition for a finite difference gradient. This approach does not require classical assumptions based on set-indexed martingales and the (partial) ordering of index sets. The examples treated focus on stopping sets in finite volume, and include the random missed volume of Poisson convex hulls.
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Houdré C, Privault N. Isoperimetric and related bounds on configuration spaces. Stat Probab Lett 2008. [DOI: 10.1016/j.spl.2008.02.002] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [What about the content of this article? (0)] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 10/22/2022]
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Abstract
We develop an integration by parts technique for point processes, with application to the computation of sensitivities via Monte Carlo simulations in stochastic models with jumps. The method is applied to density estimation with respect to the Lebesgue measure via a modified kernel estimator which is less sensitive to variations of the bandwidth parameter than standard kernel estimators. This applies to random variables whose densities are not analytically known and requires the knowledge of the point process jump times.
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Abstract
We define a class of anticipative flows on Poisson space and compute its Radon-Nikodym derivative. This result is applied to statistical testing in an anticipative queueing problem.
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