Nicolas Privault

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Giovanni Peccati22
Marouen Messaoud20
Cécile Ané17
L. Decreusefond14
Eric Fournié12
22Abdallah El Hamidi
14Michel Crépeau
10Jean-Christophe Breton
10Dusit Niyato
9Ping Wang

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Performance analysis of simultaneous wireless information and power transfer with ambient RF energy harvesting
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)
Sensitivity analysis of European options in jump-diffusion models via the Malliavin calculus on the Wiener space
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)
Moment Identities for Skorohod Integrals on the Wiener Space and Applications
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)
The Clark-Haussmann-Ocone theorem WHITE NOISE GENERALIZATIONS OF THE CLARK-HAUSSMANN-OCONE THEOREM, WITH APPLICATION TO MATHEMATICAL FINANCE
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)
Performance Analysis of Ambient RF Energy Harvesting with Repulsive Point Process Modeling
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)
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
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)
Performance Analysis of Ambient RF Energy Harvesting: A Stochastic Geometry Approach
—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)