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- Xiao Lu, Ian Flint, Dusit Niyato, Nicolas Privault, Ping Wang
- 2015 IEEE Wireless Communications and Networking…
- 2015
The advance in RF energy transfer and harvesting technique over the past decade has enabled wireless energy replenishment for electronic devices, which is deemed as a promising alternative to address the energy bottleneck of conventional battery-powered devices. In this paper, by using a stochastic geometry approach, we aim to analyze the performance of an… (More)
- Nicolas PRIVAULT, Xiao WEI
- 2005
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 and to the construction of a modified kernel estimator which is less sensitive to variations of the bandwidth parameter than standard… (More)
- Nicolas Privault
- 1999
We introduce on the Fock space ?(L 2 (I R +)) two operators r and r expressing the in-nitesimal perturbations of random variables by time changes in the Wiener and Poisson probabilistic interpretations of ?(L 2 (I R +)). These operators have close connections with stochastic integration, regularity of laws, chaotic expansions and complement the annihilation… (More)
- Nicolas Privault
- 1996
We show that two multiple stochastic integrals I n (f n), I m (g m) with respect to the solution (M t) t2I R + of a deterministic structure equation are independent if and only if two contractions of f n and g m , denoted as f n 0 1 g m , f n 1 1 g m , vanish almost everywhere.
- Virginie Debelley, Nicolas Privault, Michel Crépeau
We present a Malliavin calculus approach to sensitivity analysis of European options in a jump-diffusion model. The lack of differentiability due to the presence of a jump component is tackled using partial differentials with respect to the (absolutely continuous) Gaussian part. The method appears to be particularly efficient to compute sensitivities with… (More)
- NICOLAS PRIVAULT
- 2009
We prove a moment identity on the Wiener space that extends the Skorohod isometry to arbitrary powers of the Skorohod integral on the Wiener space. As simple consequences of this identity we obtain sufficient conditions for the Gaussianity of the law of the Skorohod integral and a recurrence relation for the moments of second order Wiener integrals. We also… (More)
We use a white noise approach to Malliavin calculus to prove the following white noise generalization of the Clark-Haussmann-Ocone formula F (ω) = E[F ] + T 0 E[D t F |F t ] ⋄ W (t)dt Here E[F ] denotes the generalized expectation, D t F (ω) = dF dω is the (generalized) Malliavin derivative,⋄ is the Wick product and W (t) is 1-dimensional Gaussian white… (More)
- Ian Flint, Xiao Lu, Nicolas Privault, Dusit Niyato, Ping Wang
- IEEE Trans. Wireless Communications
- 2015
Ambient RF (Radio Frequency) energy harvesting technique has recently been proposed as a potential solution to provide proactive energy replenishment for wireless devices. This paper aims to analyze the performance of a battery-free wireless sensor powered by ambient RF energy harvesting using a stochastic geometry approach. Specifically, we consider the… (More)
- Knut K. Aase, Bernt Øksendal, Nicolas Privault, Jan Ubøe
- Finance and Stochastics
- 2000
We use a white noise approach to Malliavin calculus to prove the following white noise generalization of the Clark-Haussmann-Ocone formula F (ω) = E[F ] + T 0 E[D t F |F t ] W (t)dt Here E[F ] denotes the generalized expectation, D t F (ω) = dF dω is the (generalized) Malliavin derivative, is the Wick product and W (t) is 1-dimensional Gaussian white noise.… (More)
- Ian Flint, Xiao Lu, Nicolas Privault, Dusit Niyato, Ping Wang
- GLOBECOM
- 2014
—Ambient RF (Radio Frequency) energy harvesting techniques have recently been proposed as a potential solution to provide proactive energy replenishment for wireless devices. This paper aims to analyze the performance of a battery-free wireless sensor powered by ambient RF energy harvesting using a stochastic-geometry approach. Specifically, we consider a… (More)