Large deviations for multidimensional state-dependent shot-noise processes. - Amarjit Budhiraja; Pierre Nyquist (J. Appl. Probab., 2015)

Moderate deviation principles for importance sampling estimators of risk measures. - Pierre Nyquist (J. Appl. Probab., 2017)

Sensitivity Approximation by the Peano-Baker Series. - Olivia Eriksson; Andrei Kramer; Federica Milinanni; Pierre Nyquist (CoRR, 2021)

A note on large deviations for interacting particle dynamics for finding mixed equilibria in zero-sum games. - Viktor Nilsson; Pierre Nyquist (CoRR, 2022)

Importance Sampling for a Simple Markovian Intensity Model Using Subsolutions. - Boualem Djehiche; Henrik Hult; Pierre Nyquist (ACM Trans. Model. Comput. Simul., 2022)

REMEDI: Corrective Transformations for Improved Neural Entropy Estimation. - Viktor Nilsson; Anirban Samaddar; Sandeep Madireddy; Pierre Nyquist (ICML, 2024)

A Deep Learning Approach for Rare Event Simulation in Diffusion Processes. - Henrik Hult; Aastha Jain; Sandeep Juneja 001; Pierre Nyquist; Sushant Vijayan (WSC, 2024)