Main scientific interests
Large deviations theory and its applications to insurance, queuing theory, simulation, optimal transport.
Discrete Malliavin calculus, Malliavin calculus for point processes, Malliavin calculus on the Wiener space.
Stochastic processes on random graphs.
Stein and Chen-Stein methods for probability approximation.
Density estimation of functionals of point processes and solutions of SDE.
Monte Carlo Markov chains for point processes.