Boualem Djehiche
Professor of mathematical statistics
Email: boualem@math.kth.se
Address: Department of Mathematics, KTH, 100 44 Stockholm
Phone (office): +46 8 790 78 75
I am at the Division of Mathematical Statistics of the Department
of mathematics, KTH, Stockholm,
Sweden. You find me at the Department of Mathematics room 3536 Lindstedtsvägen 25. Map.
My current research interests are in the area of Stochastic Analysis and include Stochastic Control and Differential Games, Insurance Mathematics and Mathematical Finance.
Recent papers
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B. Djehiche, R. Elie and S. Hamadene (2023): Mean-field reflected backward stochastic differential equations. The Annals of Applied Probability, vol. 33, no. 4, s. 2493-2518, 2023.
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N. Chikhi and B. Djehiche (2024): Patients transportation in surgery scheduling problem. Journal of Systems Science and Complexity. DOI
10.1007/s11424-024-3073-8.
Manuscripts
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B. Djehiche and O. Mazhar (2021): Non asymptotic estimation lower bounds for LTI state space models with Cramer-Rao and van Trees. (Preprint: arXiv:2109.08582, September 2021).
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B. Djehiche, R. Dumitrescu and J. Zeng (2021): A propagation of chaos result for weakly interacting nonlinear Snell envelopes. (Preprint: arXiv:2111.14315, November 2021).
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B. Djehiche and O. Mazhar (2022): Efficient learning of hidden state LTI state space models of unknown order. (Preprint: arXiv:2202.01625, February 2022).
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B. Djehiche and R. Dumitrescu (2022): Zero-sum mean-field Dynkin games: characterization and convergence. (Preprint: arXiv:2202.02126, February 2022).
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B. Djehiche and H. Tembine (2024): The outcomes of generative AI are exactly the Nash equilibria of a non-potential game. (Preprint: https://arxiv.org/abs/2401.12321, January 2024).
- S. Rujivan, N. Thamrongrat, P. Juntanon and B. Djehiche (2024): Analytical computation of conditional moments in the extended Cox-Ingersoll-Ross process with regime switching: Hybrid PDE system solutions with financial applications.
Editorial duties
Links to some Mathematical Statistics sites can be found at the
Mathematical Statistics home page.