Pierre Nyquist is an Assistant Professor at the Department of Mathematics and Computer Science, Eindhoven University of Technology (TU/e), where he holds a joint appointment between the Centre for Analysis, Scientific Computing and Applications (CASA) and the Stochastics division (STO).
Pierre’s research interest lies at the intersection of probability theory, mathematical statistics and applied mathematics. His main expertise is in probability theory, where he has focused on large deviations theory and stochastic numerical methods. The mathematical tools he uses come from areas such as probability, analysis, PDE theory, optimization, stochastic optimal control. Recently, he has become increasingly interested in the mathematical foundation of the analysis and modelling of complex data.
Pierre Nyquist received his PhD in Applied and Computational Mathematics from KTH Royal Institute of Technology, under the guidance of Prof Henrik Hult. Prior to moving to Eindhoven he was was a postdoc in the Division of Applied Mathematics, Brown University, under the mentorship of Prof Paul Dupuis, and a Visiting Assistant Professor in the Department of Mathematics at KTH. His position at TU/e is funded by the NWO grant "Analysis meets Stochastics: Scaling limits in complex systems.
A large deviations analysis of certain qualitative properties of parallel tempering and infinite swapping algorithmsApplied Mathematics and Optimization (2018)
Moderate deviation principles for importance sampling estimators of risk measuresJournal of Applied Probability (2017)
Thermodynamic integration methods, infinite swapping, and the calculation of generalized averagesJournal of Chemical Physics (2017)
Large deviations for weighted empirical measures arising in importance samplingStochastic Processes and their Applications (2016)
Large deviations for multidimensional state-dependent shot-noise processesJournal of Applied Probability (2015)
- Lineaire algebra
No ancillary activities