Boualem Djehiche

Professor of mathematical statistics

I am at the Division of Mathematical Statistics of the Department of mathematics, KTH, Stockholm, Sweden. You find me at the Mathematics Department room 3433 Lindstedtsvägen 13. Map.

My research interests are in the area of Stochastic Analysis, and include the Theory of Large Deviations, Superprocesses and Interacting Particle Systems, with applications in Euclidean Quantum Mechanics, Risk Theory in Insurance Mathematics, Mathematical finance and Mathematical Epidemiology.

• Selected list of publications.

• Short CV.

Recent papers

• B. Djehiche and P. Hörfelt (2005): Standard approaches to asset and liability risk. (Invited paper) Scandinavian Actuarial Journal, (5), pp. 377-400.

• B. Djehiche and A. Gioulekas (2005): How to combine strategies while keeping drawdowns at a minimum. Internal report, IPM Informed Portfolio Management, Ltd.

• S. Bahlali, B. Djehiche and B. Mezerdi (2006): Existence and optimality necessary conditions in relaxed controlproblems. J. Appl. Math. Stoch. Analysis, Art. ID 72762, 23 pp.

• K. Bahlali, B. Djehiche and B. Mezerdi (2007):On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients. Appl. Math. and Optim. Vol. 56(3), pp. 364-378.

• B. Djehiche and J. Rinné (2007): Can Stocks Help Mend the Asset and Liability Mismatch? (White Paper). In Strategy Review 5, June 2007, IPM Informed Portfolio Management, Ltd. To appear in Scandinavian Actuarial Journal.

• A. Dermoune, B. Djehiche and N. Rahmania (2007): Consistent estimators of the smoothing parameter in the Hodrick-Prescott Filter. J. Japan Statist. Soc., Vol. 38 (No. 2), pp. 225-241, (2008).

• S. Bahlali, B. Djehiche and B. Mezerdi (2007): The relaxed stochastic maximum principle in singular optimal control of diffusions. SIAM J. Control and Opt. Vol. 46, No. 2, pp. 427-444

• B. Djehiche, S. Hamadène and A. Popier (2007): A finite horizon optimal multiple switching problem. To appear in SIAM J. Control and Optimization

• A. de Ridder and B. Djehiche (2007): Extreme Day Returns: Evidence from Sweden (Preprint).

• D. Andersson and B. Djehiche (2007): A maximum principle for relaxed stochastic control of linear SDE's with application to bond portfolio optimization (Preprint).

• T. Arnarsson, B. Djehiche, M. Poghosyan, H. Shahgholian (2008): A PDE approach to regularity of solutions to finite horizon optimal switching problems. To appear in Nonlinear Analysis Series A: Theory, Methods & Applications.

• A. Dermoune, B. Djehiche and N. Rahmania (2008): Estimation of the smoothing parameters in the HPMV filter (Preprint).

• B. Djehiche and J. Svensson (2009): Large deviations for heavy-tailed factor models. Statistics and Probability Letters (79), pp. 304-311.

• B. Djehiche and S. Hamadène (2009): On a finite horizon starting and stopping problem with risk of abandonment. International J. of Theoretical & Applied Finance (IJTAF) Vo. 12, No. 4, 523-543.

• B. Djehiche, S. Hamadène and I. Hdhiri (2009): Stochastic Impulse Control for Non-Markovian Processes. To appear in Applied Math. and Optimization.

• A. Dermoune, B. Djehiche and N. Rahmania (2009): Multivariate Extension of the Hodrick-Prescott Filter- Optimality and Characterization. Studies in Nonlinear Dynamics & Econometrics: Vol. 13: No.3. http://www.bepress.com/snde/vol13/iss3/art4.

• K. Bahlali, F. Chighoub, B. Djehiche and B. Mezerdi (2009): Optimality necessary conditions in singular stochastic control problems with non-smooth coefficients. J. Math. Anal. Appl. 355, pp. 479-494.

• F. Chighoub, B. Djehiche and B. Mezerdi (2009): The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients. Random Operators and Stochastic Eqs.17, pp. 37-54.

• R. Buckdahn, B. Djehiche, J. Li and S. Peng (2009): Mean-Field Backward Stochastic Differential Equations. A Limit Approach. Annals of Probability 2009, Vol. 37, No. 4, 1524-1565.

• F. Chighoub, B. Djehiche and B. Mezerdi (2009): A stochastic maximum principle in singular control of diffusions with non smooth coefficients. To appear in Australian J. Math. Analys. and Applications.

• B. Djehiche and A. Gioulekas (2009): Tail risk optimisation. Insights/Q4 2009, IPM Informed Portfolio Management AB, Stockholm.

• D. Andersson and B. Djehiche (2009): A maximum principle for SDEs of mean-field type (Submitted).

• B. Djehiche, S. Hamadène and M-A. Morlais (2009): Optimal stopping of expected profit and cost yields in an investment under uncertainty (Submitted).

• Y. Bineau, B. Djehiche and N. Rahmania (2009): A new multivariate approach for measuring equilibrium models: Application to the United States data (Submitted).

Current Ph.D. students

• Ali Hamdi

• Mårten Marcus

Former Ph.D. students

• Daniel Andersson

• Fredrik Armerin

• Henrik Hult

• Jens Svensson