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Main scientific interests

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Large deviations theory and its applications to insurance, queuing theory, simulation, optimal transport.

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Discrete Malliavin calculus, Malliavin calculus for point processes, Malliavin calculus on the Wiener space.

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Stochastic processes on random graphs.

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Stein and Chen-Stein methods for probability approximation.

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Density estimation of functionals of point processes and solutions of SDE.

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Monte Carlo Markov chains for point processes.

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