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, S. Hamadene and I. Hdhiri (2010): Stochastic Impulse Control for Non-Markovian Processes. Applied Math. and Optimization, 61(1),1-26.

• B. Djehiche and J. Rinne (2010): Can Stocks Help Mend the Asset and Liability Mismatch? Scandinavian Actuarial Journal, 2:148-160.

• D. Andersson and B. Djehiche (2010): A maximum principle for relaxed stochastic control of linear SDE's with application to bond portfolio optimization. Math. Methods in Operations Research, 72(2), 273-310.

• 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. To appear in 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. To appear in 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.

Manuscripts

Former Ph.D. students

• Henrik Hult: Topics on fractional Brownian motion and regular variation for stochastic processes (October 3, 2003).

• Fredrik Armerin: Aspects of Cash Flow Valuation (December 10, 2004).

• Jens Svensson: On Importnace sampling and Dependence Modeling (October 23, 2009).

• Daniel Andersson: Contributions to the Stochastic Maximum Principle (October 30, 2009).

• Editor-in-Chief of Scandinavian Actuarial Journal.

• Associate Editor of Finance and Stochastics.