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Prof. Dr. Ivan Nourdin
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| Faculty or Centre | Faculty of Science, Technology and Medicine | ||||||||
| Department | Department of Mathematics | ||||||||
| Postal Address |
Université du Luxembourg Maison du Nombre 6, Avenue de la Fonte L-4364 Esch-sur-Alzette |
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| Campus Office | MNO, E05 0515-090 | ||||||||
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| Telephone | (+352) 46 66 44 6380 | ||||||||
| Social Media & Blogs | |||||||||
| Speaks | English, French | ||||||||
| Research Stays in | France, Luxembourg, USA | ||||||||
Link to personal homepage: https://sites.google.com/site/ivannourdin/home
Prof. Dr. Ivan Nourdin (born 1978) studied mathematics at the Université de Lorraine and at the École Normale Supérieure de Cachan, France.
In 2004, he received the PhD from the Université de Lorraine, France.
He joined the Université Pierre et Marie Curie (Paris VI) as an assistant professor in 2005 and then the Université de Lorraine as a full professor in 2010.
In 2011, he was awarded the Annual Prize of the Fondation des Sciences Mathématiques de Paris.
In 2013, he was awarded the France Scopus Researcher Award in the field of Mathematics by Elsevier.
He was appointed professor of stochastic modelling at the University of Luxembourg in March 2014, where he is currently building a research group.
In 2015, together with Giovanni Peccati he was awarded the FNR Award for Outstanding Scientific Publication (for the book "Normal Approximations with Malliavin Calculus: from Stein's method to universality", published by Cambridge University Press in 2012).
His research interests include Malliavin calculus, Stein's method, functional inequalities, free probability, rough paths theory, and inference for high-dimensional problems.
Ivan Nourdin is author/coauthor of more than 80 publications in international scientific journals as well as 2 monographs.
Last updated on: Tuesday, 14 November 2017
Education - Universities attended
- 2008: Habilitation to Drive Research, University of Paris VI, France
- 2001 - 2004: PhD student, University of Nancy I, France
- 2000: Agrégation de mathématiques, ranked 18th .
- 1999 – 2001: Student at the École Normale Supérieure de Cachan
Current Position
- Full Professor, Faculty of Science, Technology and Communication, Luxembourg University, since 2014
Previous employment
- Full Professor, Université de Lorraine, 2010-2014
- On leave at the Laboratoire de Probabilités et Modèles Aléatoires (Université Paris VI and VII) thanks to the Prize of the Fondation des Sciences Mathématiques de Paris, 2011-2012
- Maître de Conférences, Université Paris VI, 2005-2010
- Attaché Temporaire d'Enseignement et de Recherche, École des Mines de Nancy, 2004-2005
- Moniteur, Université Nancy I, 2001-2004
- Student (with salary), École Normale Supérieure de Cachan, 1999-2001
Honours
- Winner of the 2015 FNR Researcher Award for Outstanding Scientific Publication
- Winner of the 2013 France Scopus Researcher Award in the field of Mathematics
- Winner of the 2011 Prize of the Fondation des Sciences Mathématiques de Paris
Last updated on: 19 Apr 2016
- Guangqu Zheng, Université du Luxembourg, 2015-2018
- Tran Thi Thanh Diu, Université du Luxembourg, 2015-2018
- Rola Zintout, Université de Lorraine, 2012-2015
- Raghid Zeineddine, Université de Lorraine, 2011-2014
- Salim Noreddine, Université Paris VI, 2009-2013
Last updated on: 06 Nov 2017
In press
Multivariate stable approximation in Wasserstein distance by Stein's method; ; ;
in Journal of Theoretical Probability (in press)
Limit theorems for additive functionals of the fractional Brownian motion; ; ;
in Annals of Probability (in press)
2023
Small Scale CLTs for the Nodal Length of Monochromatic Waves; ; ;
in Communications in Mathematical Physics (2023), 397(1), 1-36
2022
Non-integrable stable approximation by Stein's method; ; ; ;
in Journal of Theoretical Probability (2022)
Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion; ;
in Electronic Journal of Probability (2022)
Spectral central limit theorem for additive functionals of isotropic and stationary Gaussian fields;
E-print/Working paper (2022)
Multivariate normal approximation on the Wiener space: new bounds in the convex distance; ;
in Journal of Theoretical Probability (2022)
Asymptotic behaviour of large Gaussian correlated Wishart matrices;
in Journal of Theoretical Probability (2022)
2021
Limit theorems for integral functionals of Hermite-driven processes; ; ;
in Bernoulli (2021), 27(3), 1764-1788
Approximation of Fractional Local Times: Zero Energy and Derivatives; ;
in Annals of Applied Probability (2021), In press
Local times and sample path properties of the Rosenblatt process; ; ;
in Stochastic Processes and Their Applications (2021), 131
The Breuer-Major Theorem in total variation: improved rates under minimal regularity; ;
in Stochastic Processes and Their Applications (2021), 131
Gaussian fluctuation for Gaussian Wishart matrices of overall correlation;
E-print/Working paper (2021)
2020
Freeness characterisations on free chaos spaces;
in Pacific Journal of Mathematics (2020), 305(2), 447-472
Continuous Breuer-Major theorem: tightness and non-stationarity; ;
in Annals of Probability (2020), 48(1), 147-177
Stein's method for asymmetric alpha-stable distributions, with application to the stable CLT; ;
in Journal of Theoretical Probability (2020)
Restricted hypercontractivity on the Poisson space; ;
in Proceedings of the American Mathematical Society (2020), 148
2019
Almost sure limit theorems on Wiener chaos: the non-central case;
in Electronic Communications in Probability (2019), 24(9), 1-12
Phase singularities in complex arithmetic random waves; ; ;
in Electronic Journal of Probability (2019), 24(71), 1-45
Nodal Statistics of Planar Random Waves; ;
in Communications in Mathematical Physics (2019), 369(1), 99-151
Berry-Esseen bounds in the Breuer-Major CLT and Gebelein's inequality; ;
in Electronic Communications in Probability (2019), 24(34), 1-12
Statistical inference for Vasicek-type model driven by Hermite processes;
in Stochastic Processes and Their Applications (2019), 129(10), 3774-3791
2018
Weak symmetric integrals with respect to the fractional Brownian motion; ;
in Annals of Probability (2018), 46(4), 2243-2267
Convergence of random oscillatory integrals in the presence of long-range dependence and application to homogenization; ; ;
in Probability and Mathematical Statistics (2018), 38(2), 271-286
Concentration of the Intrinsic Volumes of a Convex Body; ; ; ;
in Geometric Aspects of Functional Analysis – Israel Seminar (GAFA) 2017-2019 (2018)
2017
Gaussian Phase Transitions and Conic Intrinsic Volumes: Steining the Steiner Formula; ;
in Annals of Applied Probability (2017), 27(1), 1-47
2016
Multivariate Gaussian approxi- mations on Markov chaoses; ; ;
in Electronic Communications in Probability (2016), 21
Convergence of random oscillatory integrals in the presence of long-range dependence and application to homogenization; ; ;
in Probability and Mathematical Statistics (2016)
Squared chaotic random variables: new moment inequalities with applications; ; ;
in Journal of Functional Analysis (2016), 270(2), 649-670
Fisher information and the Fourth Moment Theorem;
in Annales de l'Institut Henri Poincare (B) Probability & Statistics (2016), 52(2), 849-867
Quantitative stable limit theorems on the Wiener space; ;
in Annals of Probability (2016), 44(1), 1-41
Strong asymptotic independence on Wiener chaos; ;
in Proceedings of the American Mathematical Society (2016), 144(2), 875-886
Classical and free fourth moment theorems: universality and thresholds; ; ;
in Journal of Theoretical Probability (2016), 29(2), 653-680
Multidimensional limit theorems for homogeneous sums : a general transfer principle; ; ;
in ESAIM: Probability and Statistics (2016), 20
Asymptotic behaviour of the cross-variation of some integral long memory processes;
in Probability and Mathematical Statistics (2016), 36(1),
Convergence in law implies convergence in total variation for polynomials in independent Gaussian, Gamma or Beta random variables;
in Progress in Probability (2016), 71
2015
Local universality of the number of zeros of random trigonometric polynomials with continuous coefficients; ; ; ;
E-print/Working paper (2015)
Stein's method, logarithmic Sobolev and transport inequalities; ;
in Geometric and Functional Analysis (2015), 25
The optimal fourth moment theorem;
in Proceedings of the American Mathematical Society (2015), 143(7), 3123-3133
2014
Invariance principles for homogeneous sums of free random variables;
in Bernoulli (2014), 20(2), 586-603
Entropy and the fourth moment phenomenon; ;
in Journal of Functional Analysis (2014), 266(5), 3170-3207
Integration by parts and representation of information functionals; ;
in Abstract book of 2014 IEEE International Symposium on Information Theory (ISIT) (2014)
Comparison inequalities on the Wiener space; ;
in Stochastic Processes and Their Applications (2014), 124(4), 1566-1581
Asymptotic independence of multiple Wiener-Itô integrals and the resulting limit laws;
in Annals of Probability (2014), 42(2), 497-526
Central and non-central limit theorems in a free probability setting;
in Journal of Theoretical Probability (2014), 27(1), 220-248
An Itô's type formula for the fractional Brownian motion in Brownian time;
in Electronic Journal of Probability (2014), 19(99), 1-15
Two properties of vectors of quadratic forms in Gaussian random variables; ; ;
in Teoriya Veroyatnostei i ee Primeneniya (2014), 59(2), 214-232
2013
Fourth moment theorem and q-Brownian chaos; ;
in Communications in Mathematical Physics (2013), 321(1), 113-134
Parameter estimation for alpha-fractional bridges;
in Malliavin calculus and stochastic analysis (2013)
Absolute continuity and convergence of densities for random vectors on Wiener chaos; ; ;
in Electronic Journal of Probability (2013), 18(22), 1--19
Multidimensional semicircular limits on the free Wigner chaos; ;
in The Ascona Proceedings, 2011 (2013)
Convergence in total variation on Wiener chaos;
in Stochastic Processes and Their Applications (2013), 123
An invariance principle under the total variation distance;
in Stochastic Processes and Their Applications (2013)
2012
Optimal Berry-Esseen rates on the Wiener space: the barrier of third and fourth cumulants; ; ;
in Latin American Journal of Probability and Mathematical Statistics (2012), 9(2), 473--500
Convergence of Wigner integrals to the tetilla law;
in ALEA: Latin American Journal of Probability and Mathematical Statistics (2012), 9
Convergence in law in the second Wiener/Wigner chaos;
in Electronic Communications in Probability (2012), 17(36),
2011
On the Gaussian approximation of vector-valued multiple integrals;
in Journal of Multivariate Analysis (2011), 102(6), 1008-1017
Yet another proof of the Nualart-Peccati criterionin Electronic Communications in Probability (2011), 16
Quantitative Breuer-Major theorems; ;
in Stochastic Processes and Their Applications (2011), 121(4), 793--812
2010
Weak approximation of a fractional SDE; ; ;
in Stochastic Processes and Their Applications (2010), 120
Almost sure central limit theorems on the Wiener space; ;
in Stochastic Processes and Their Applications (2010), 120
Limit theorems for nonlinear functionals of Volterra processes via white noise analysis; ;
in Bernoulli (2010), 16(4), 1262-1293
Central limit theorems for multiple Skorohod integrals;
in Journal of Theoretical Probability (2010), 23(1), 39-64
Central and non-central limit theorems for weighted power variations of fractional Brownian motion; ;
in Annales de l'Institut Henri Poincare (B) Probability & Statistics (2010), 46(4), 1055-1079
Stein's method meets Malliavin calculus: a short survey with new estimates;
in Recent development in stochastic dynamics and stochastic analysis (2010)
Universal Gaussian fluctuations of non-Hermitian matrix ensembles: from weak convergence to almost sure CLTs;
in Latin American Journal of Probability and Mathematical Statistics (2010), 7
Multivariate normal approximation using Stein's method and Malliavin calculus; ;
in Annales de l'Institut Henri Poincare (B) Probability & Statistics (2010), 46(1), 45--58
Stein's method and stochastic analysis of Rademacher functionals; ;
in Electronic Journal of Probability (2010), 15
Invariance principles for homogeneous sums: universality of Gaussian Wiener chaos; ;
in Annals of Probability (2010), 38(5), 1947--1985
The weak Stratonovich integral with respect to fractional Brownian motion with Hurst parameter H=1/6; ;
in Electronic Journal of Probability (2010), 15
2009
Exact confidence intervals for the Hurst parameter of a fractional Brownian motion; ;
in Electronic Journal of Statistics (2009), 3
Differentiating $\sigma$-fields for Gaussian and shifted Gaussian processes; ;
in Stochastics: an International Journal of Probablitiy and Stochastic Processes (2009), 81(1), 79--97
Milstein's type schemes for fractional SDEs;
in Annales de l'Institut Henri Poincare (B) Probability & Statistics (2009), 45(4), 1085-1098
Trees and asymptotic developments for fractional stochastic differential equations; ; ;
in Annales de l'Institut Henri Poincare (B) Probability & Statistics (2009), 45(1), 157-174
A change of variable formula for the 2D fractional Brownian motion of Hurst index bigger or equal to 1/4in Journal of Functional Analysis (2009), 256
Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields;
in Annals of Probability (2009), 37(6), 2231--2261
Second order Poincaré inequalities and CLTs on Wiener space; ;
in Journal of Functional Analysis (2009), 257(2), 593--609
Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case H=1/4;
in Annals of Probability (2009), 37(6), 2200-2230
Density formula and concentration inequalities with Malliavin calculus;
in Electronic Journal of Probability (2009), 14
2008
Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion;
in Electronic Communications in Probability (2008), 13
Asymptotic expansions at any time for fractional scalar SDEs of Hurst index H>1/2;
in Bernoulli (2008), 14(3), 822-837
Stochastic volatility: approximation and goodness-of-fit test;
in Probability and Mathematical Statistics (2008), 28(1), 1-19
Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion;
in Journal of Theoretical Probability (2008), 20(4), 871-899
A simple theory for the study of SDEs driven by a fractional Brownian motion, in dimension onein Lecture notes in Mathematics (2008)
Asymptotic behavior of certain weighted quadratic and cubic variations of fractional Brownian motionin Annals of Probability (2008), 36(6), 2159-2175
Weighted power variations of iterated Brownian motion;
in Electronic Journal of Probability (2008), 13
2007
Dynamical properties and characterization of gradient drift diffusions;
in Electronic Communications in Probability (2007), 12
2006
On the absolute continuity of one-dimensional SDEs driven by a fractional Brownian motion;
in Statistics and Probability Letters (2006), 76(9), 907-912
On the absolute continuity of Lévy processes with drift;
in Annals of Probability (2006), 34(3), 1035-1051
Some linear fractional stochastic equations;
in Stochastics: an International Journal of Probablitiy and Stochastic Processes (2006), 78(2), 51-65
2005
m-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index; ; ;
in Annales de l'Institut Henri Poincare (B) Probability & Statistics (2005), 41(4), 781-806
Itô's and Tanaka's type formulae for the stochastic heat equation: the linear case; ;
in Journal of Functional Analysis (2005), 228(1), 114-143
Schémas d'approximation associés à une équation différentielle dirigée par une fonction höldérienne; cas du mouvement brownien fractionnairein Comptes Rendus de l'Académie des Sciences. Série I. Mathématique (2005), 340(8), 611-614
2003
Approximation at first and second order of m-order integrals of the fractional Brownian motion and of certain semimartingales;
in Electronic Journal of Probability (2003), 8(18), 1-26
