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Research profile

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. 

Academic background

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. 

Fingerprint Fingerprint is based on mining the text of the person's scientific documents to create an index of weighted terms, which defines the key subjects of each individual researcher.

Large Deviations Mathematics
Importance Sampling Mathematics
Empirical Measures Mathematics
Shot Noise Process Mathematics
Parallel Tempering Mathematics
Moderate Deviations Mathematics
Risk Measures Mathematics
Qualitative Properties Mathematics

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Research Output 2015 2018

  • 6 Citations
  • 5 Article

A large deviations analysis of certain qualitative properties of parallel tempering and infinite swapping algorithms

Doll, J., Dupuis, P. & Nyquist, P., 1 Aug 2018, In : Applied Mathematics and Optimization. 78, 1, p. 103-144

Research output: Contribution to journalArticleAcademicpeer-review

Parallel Tempering
Qualitative Properties
Tempering
Large Deviations
Rate Function

Moderate deviation principles for importance sampling estimators of risk measures

Nyquist, P., 1 Jun 2017, In : Journal of Applied Probability. 54, 2, p. 490-506 17 p.

Research output: Contribution to journalArticleAcademicpeer-review

Open Access
Moderate Deviations
Risk Measures
Importance Sampling
Estimator
Large Deviations

Thermodynamic integration methods, infinite swapping, and the calculation of generalized averages

Doll, J. D., Dupuis, P. & Nyquist, P., 7 Apr 2017, In : Journal of Chemical Physics. 146, 13, 134111

Research output: Contribution to journalArticleAcademicpeer-review

Open Access
File
sampling
Thermodynamics
Sampling
thermodynamics
2 Citations (Scopus)

Large deviations for weighted empirical measures arising in importance sampling

Hult, H. & Nyquist, P., 1 Jan 2016, In : Stochastic Processes and their Applications. 126, 1, p. 138-170 33 p.

Research output: Contribution to journalArticleAcademicpeer-review

Empirical Measures
Importance sampling
Importance Sampling
Large Deviations
Sanov's Theorem
4 Citations (Scopus)

Large deviations for multidimensional state-dependent shot-noise processes

Budhiraja, A. & Nyquist, P., 1 Dec 2015, In : Journal of Applied Probability. 52, 4, p. 1097-1114 18 p.

Research output: Contribution to journalArticleAcademicpeer-review

Open Access
Shot Noise Process
Large Deviations
Dependent
Applied Probability
Risk Theory

Activities 2014 2017

  • 9 Editorial activity
  • 1 Conference
  • 1 Publication peer-review

RESIM 2018

P. Nyquist (Organiser)
20172018

Activity: Participating in or organising an event typesConferenceScientific

Mathematics of Operations Research (Journal)

P. Nyquist (Referee)
2017 → …

Activity: Publication peer-review and editorial work typesEditorial activityScientific

Nature Communications (Journal)

P. Nyquist (Referee)
2017 → …

Activity: Publication peer-review and editorial work typesEditorial activityScientific

INFORMS Journal on Computing (Journal)

P. Nyquist (Referee)
2016 → …

Activity: Publication peer-review and editorial work typesEditorial activityScientific

Bernoulli (The Official Journal of the Bernoulli Society for Mathematical Statistics and Probability) (Journal)

P. Nyquist (Referee)
2016 → …

Activity: Publication peer-review and editorial work typesEditorial activityScientific

Student theses

Speed of the forming of special figures in random graphs

Author: Hoenderop, I., 24 Sep 2018

Supervisor: van der Hofstad, R. (Supervisor 1) & Nyquist, P. (Supervisor 2)

Student thesis: Bachelor

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