Boualem Djehiche
Professor of mathematical statistics
Email: boualem@math.kth.se
Address: Department of Mathematics, KTH, 100 44 Stockholm
Phone: +46 8 790 78 75
Fax: +46 8 723 17 88
I am at the Division of Mathematical Statistics of the Department
of mathematics, KTH, Stockholm,
Sweden. You find me at the Mathematics Department room 3536 Lindstedtsvägen 25. 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, Insurance Mathematics, Mathematical finance and Mathematical Epidemiology.
Recent papers
- D. Andersson and B. Djehiche (2011): A maximum principle for stochastic control of SDE's of mean-field type. Applied Math. and Optimization, 63(3), 341--356.
- B. Djehiche, S. Hamadene and M-A. Morlais (2011): Optimal stopping of expected profit and cost yields in an investment under uncertainty. Stochastics, 83(4-6), 431-448.
- B. Djehiche, M. N'zi and J-M. Owo (2011): Stochastic viscosity solutions for SPDEs with continuous coefficients. J. Math. Analys. and Applications, 384(1), 63-69.
- A. Dermoune, B. Djehiche and N. Rahmania (2011): Estimation of the smoothing parameters in the HPMV filter. Analele Stiintifice ale Universitatii A. I. Cuza, Iasi, Sectiunea Matematica, Vol. LVII, 61-75.
- R. Buckdahn, B. Djehiche and J. Li (2011): A General Stochastic Maximum Principle for SDEs of Mean-field type. Applied Math. and Optimization, 64(2), 197-216.
- B. Djehiche, M. Marcus and N. Rahmania (2011): On a Graduation Problem involving both the Hodrick-Prescott Filter and Optimal Spline Smoothing. Far East J. Theoretical Statistics, 36(1), 1-19.
- B. Djehiche and N. Rahmania (2013): Modeling and estimating correlated growth and business cycles in a multivariate Hodrick-Prescott filter. Far East J. Theoretical Statistics, (42)1, 41-70.
- H. Aro, B. Djehiche and B. Lofdahl (2013): Stochastic modelling of disability insurance in a multi-period framework (To appear in Scandinavian Actuarial Journal).
Manuscripts
- B. Djehiche, S. Hamadne and M-A. Morlais (2012): Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles. http://arxiv.org/abs/1211.4991
- B. Djehiche and H. Nassar (2012): A Functional Hodrick-Prescott filter.
- B. Djehiche and A. Hamdi (2013): A full balance sheet two-modes optimal switching problem.
- B. Djehiche and A. Hamdi (2013): A two-modes mean-field optimal switching for the full balance sheet.
- B. Djehiche and M. Huang (2013): A characterization of sub-game perfect Nash equilibria for SDEs of mean field type.
Former Ph.D. students
- Henrik Hult: Topics on fractional Brownian motion and regular variation for stochastic processes (October 3, 2003).
- Jens Svensson: On Importance sampling and Dependence Modeling (October 23, 2009).
- Daniel Andersson: Contributions to the Stochastic Maximum Principle (October 30, 2009).
- Ali Hamdi: Some aspects of optimal switching and pricing Bermudan options (May 17, 2013).
Links to some Mathematical Statistics sites can be found at the
Mathematical Statistics home page.
