## Contact

**KTH Royal Institute of Technology**

*SE-100 44 Stockholm Sweden +46 8 790 60 00*

[1]

B. Djehiche, R. Elie and S. Hamadene, "Mean-Field Reflected Backward Stochastic Differential Equations," *The Annals of Applied Probability*, vol. 33, no. 4, pp. 2493-2518, 2023.

[2]

B. Djehiche and M. Martini, "Time-inconsistent mean-field optimal stopping: A limit approach," *Journal of Mathematical Analysis and Applications*, vol. 528, no. 1, 2023.

[3]

B. Djehiche, H. Hult and P. Nyquist, "Importance Sampling for a Simple Markovian Intensity Model Using Subsolutions," *ACM Transactions on Modeling and Computer Simulation*, vol. 32, no. 2, pp. 1-25, 2022.

[4]

B. Djehiche *et al.*, "Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients," *Mathematics of Operations Research*, vol. 47, no. 1, pp. 665-689, 2022.

[5]

B. Djehiche *et al.*, "Optimal portfolio choice with path dependent benchmarked labor income : A mean field model," *Stochastic Processes and their Applications*, vol. 145, pp. 48-85, 2022.

[6]

B. Djehiche, O. Mazhar and C. R. Rojas, "Finite impulse response models : A non-asymptotic analysis of the least squares estimator," *Bernoulli*, vol. 27, no. 2, pp. 976-1000, 2021.

[7]

Y. Chen, B. Djehiche and S. Hamadène, "Mean-field backward-forward stochastic differential equations and nonzero sum stochastic differential games," *Stochastics and Dynamics*, vol. 21, no. 06, 2021.

[8]

N. Agram and B. Djehiche, "On a class of reflected backward stochastic Volterra integral equations and related time-inconsistent optimal stopping problems," *Systems & control letters (Print)*, vol. 155, pp. 104989, 2021.

[9]

B. Djehiche and B. Löfdahl, "Quantum Support Vector Regression for Disability Insurance," *Risks*, vol. 9, no. 12, pp. 216, 2021.

[10]

A. Aurell and B. Djehiche, "Behavior near walls in the mean-field approach to crowd dynamics," *SIAM Journal on Applied Mathematics*, vol. 80, no. 3, pp. 1153-1174, 2020.

[11]

X. Wang *et al.*, "Credit Scoring Based on the Set-Valued Identification Method," *Journal of Systems Science and Complexity*, 2020.

[12]

Y. Li *et al.*, "Credit scoring by incorporating dynamic networked information," *European Journal of Operational Research*, vol. 286, no. 3, pp. 1103-1112, 2020.

[13]

M. K. Dao and B. Djehiche, "Hamilton-Jacobi equations for optimal control on multidimensional junctions with entry costs," *NoDEA. Nonlinear differential equations and applications (Printed ed.)*, vol. 27, no. 2, 2020.

[14]

A. Bensoussan *et al.*, "Mean-Field-Type Games with Jump and Regime Switching," *Dynamic Games and Applications*, vol. 10, no. 1, pp. 19-57, 2020.

[15]

M. C. Christiansen and B. Djehiche, "Nonlinear reserving and multiple contract modifications in life insurance," *Insurance, Mathematics & Economics*, vol. 93, pp. 187-195, 2020.

[16]

B. Djehiche and S. Hamadene, "Optimal Control and Zero-Sum Stochastic Differential Game Problems of Mean-Field Type," *Applied mathematics and optimization*, vol. 81, no. 3, pp. 933-960, 2020.

[17]

B. Djehiche, J. Barreiro-Gomez and H. Tembine, "Price Dynamics for Electricity in Smart Grid Via Mean-Field-Type Games," *Dynamic Games and Applications*, vol. 10, no. 4, pp. 798-818, 2020.

[18]

B. Bouchard, B. Djehiche and I. Kharroubi, "Quenched Mass Transport of Particles Toward a Target," *Journal of Optimization Theory and Applications*, vol. 186, no. 2, pp. 345-374, 2020.

[19]

X. Wang, B. Djehiche and X. Hu, "Credit rating analysis based on the network of trading information," *The journal of network theory in finance*, vol. 5, no. 1, pp. 47-65, 2019.

[20]

S. E. Choutri and B. Djehiche, "Mean-field risk sensitive control and zero-sum games for Markov chains," *Bulletin des Sciences Mathématiques*, vol. 152, pp. 1-39, 2019.

[21]

B. Djehiche, J. Barreiro-Gomez and H. Tembine, "Mean-field-type games for blockchain-based distributed power networks," *Studies in Computational Intelligence*, vol. 809, pp. 45-64, 2019.

[22]

A. Aurell and B. Djehiche, "Modeling tagged pedestrian motion : A mean-field type game approach," *Transportation Research Part B : Methodological*, vol. 121, pp. 168-183, 2019.

[23]

S. E. Choutri, B. Djehiche and H. Tembine, "OPTIMAL CONTROL AND ZERO-SUM GAMES FOR MARKOV CHAINS OF MEAN-FIELD TYPE," *Mathematical Control and Related Fields*, vol. 9, no. 3, pp. 571-605, 2019.

[24]

B. Djehiche and B. Löfdahl, "A Hidden Markov Approach to Disability Insurance," *North American Actuarial Journal*, vol. 22, no. 1, pp. 119-136, 2018.

[25]

A. Aurell and B. Djehiche, "Mean-field type modeling of nonlocal crowd aversion in pedestrian crowd dynamics," *SIAM Journal of Control and Optimization*, vol. 56, no. 1, pp. 434-455, 2018.

[26]

B. Djehiche, A. Tcheukam and H. Tembine, "A Mean-Field Game of Evacuation in Multilevel Building," *IEEE Transactions on Automatic Control*, vol. 62, no. 10, pp. 5154-5169, 2017.

[27]

B. Djehiche and H. Nassar, "A functional Hodrick-Prescott filter," *Journal of Inverse and Ill-Posed Problems*, vol. 25, no. 2, pp. 135-148, 2017.

[28]

B. Djehiche, A. Tcheukam and H. Tembine, "Mean-field-type games in engineering," *AIMS Electronics and Electrical Engineering*, vol. 1, no. 1, pp. 18-73, 2017.

[29]

B. Djehiche *et al.*, "On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles," *Journal of Mathematical Analysis and Applications*, vol. 452, no. 1, pp. 148-175, 2017.

[30]

B. Djehiche and M. Huang, "A Characterization of Sub-game Perfect Equilibria for SDEs of Mean-Field Type," *Dynamic Games and Applications*, vol. 6, no. 1, pp. 55-81, 2016.

[31]

B. Djehiche and B. Löfdahl, "Aggregation of 1-year risks in life and disability insurance," *Annals of Actuarial Science*, vol. 10, no. 2, pp. 203-221, 2016.

[32]

B. Djehiche and B. Löfdahl, "Nonlinear reserving in life insurance : Aggregation and mean-field approximation," *Insurance, Mathematics & Economics*, vol. 69, pp. 1-13, 2016.

[33]

B. Djehiche, A. Hilbert and H. Nassar, "On the functional Hodrick-Prescott filter with non-compact operators," *Random Operators and Stochastic Equations*, vol. 24, no. 1, pp. 33-42, 2016.

[34]

B. Djehiche, H. Tembine and R. Tempone, "A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control," *IEEE Transactions on Automatic Control*, vol. 60, no. 10, pp. 2640-2649, 2015.

[35]

B. Djehiche and A. Hamdi, "A full balance sheet two-mode optimal switching problem," *Stochastics : An International Journal of Probablitiy and Stochastic Processes*, vol. 87, no. 4, pp. 604-622, 2015.

[36]

H. Aro, B. Djehiche and B. Löfdahl, "Stochastic modelling of disability insurance in a multi-period framework," *Scandinavian Actuarial Journal*, no. 1, pp. 88-106, 2015.

[37]

B. Djehiche, S. Hamadene and M.-A. Morlais, "Viscosity Solutions of Systems of Variational Inequalities with Interconnected Bilateral Obstacles," *Funkcialaj Ekvacioj*, vol. 58, no. 1, pp. 135-175, 2015.

[38]

B. Djehiche and A. Hamdi, "A Two-modes Mean-field Optimal Switching Problem for The Full Balance Sheet," *International Journal of Stochastic Analysis*, 2014.

[39]

[40]

B. Djehiche and B. Löfdahl, "Risk aggregation and stochastic claims reserving in disability insurance," *Insurance, Mathematics & Economics*, vol. 59, pp. 100-108, 2014.

[41]

R. Buckdahn, B. Djehiche and J. Li, "A General Stochastic Maximum Principle for SDEs of Mean-field Type," *Applied mathematics and optimization*, vol. 64, no. 2, pp. 197-216, 2011.

[42]

D. Andersson and B. Djehiche, "A maximum principle for SDEs of mean-field type," *Applied mathematics and optimization*, vol. 63, no. 3, pp. 341-356, 2011.

[43]

B. Djehiche, "Actuarial mathematics for life contingent risks," *Scandinavian Actuarial Journal*, no. 4, pp. 318-318, 2011.

[44]

A. Dermoune, B. Djehiche and N. Rahmania, "Estimation of the smoothing parameters in the HPMV filter," *ANALELE STIINT UNIV AL I CUZA*, vol. 57, no. 1, pp. 61-75, 2011.

[45]

B. Djehiche, "Nonlife actuarial models, theory, methods and evaluation," *Scandinavian Actuarial Journal*, no. 4, pp. 319-320, 2011.

[46]

B. Djehiche, N. Rahmania and M. Marcus, "On a Graduation Problem involving both the Hodrick-Prescott Filter and Optimal Spline Smoothing," *Far East Journal of Theoretical Statistics*, vol. 36, no. 1, pp. 1-19, 2011.

[47]

B. Djehiche, S. Hamadène and M.-A. Morlais, "Optimal stopping of expected profit and cost yields in an investment under uncertainty," *Stochastics and Stochastics Reports*, vol. 83, no. 4-6, pp. 431-448, 2011.

[48]

B. Djehiche, "Regression modeling with actuarial and financial applications," *Scandinavian Actuarial Journal*, no. 4, pp. 319-319, 2011.

[49]

B. Djehiche, M. N'zi and J.-M. Owo, "Stochastic viscosity solutions for SPDEs with continuous coefficients," *Journal of Mathematical Analysis and Applications*, vol. 384, no. 1, pp. 63-69, 2011.

[50]

D. Andersson and B. Djehiche, "A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization," *Mathematical Methods of Operations Research*, vol. 72, no. 2, pp. 273-310, 2010.

[51]

B. Djehiche and J. Rinne, "Can stocks help mend the asset and liability mismatch?," *Scandinavian Actuarial Journal*, no. 2, pp. 148-160, 2010.

[52]

B. Djehiche, S. Hamadene and I. Hdhiri, "Stochastic Impulse Control of Non-Markovian Processes," *Applied mathematics and optimization*, vol. 61, no. 1, pp. 1-26, 2010.

[53]

B. Djehiche, S. Hamadene and A. Popier, "A FINITE HORIZON OPTIMAL MULTIPLE SWITCHING PROBLEM," *SIAM Journal of Control and Optimization*, vol. 48, no. 4, pp. 2751-2770, 2009.

[54]

T. Arnarson *et al.*, "A PDE approach to regularity of solutions to finite horizon optimal switching problems," *Nonlinear Analysis*, vol. 71, no. 12, pp. 6054-6067, 2009.

[55]

J. Svensson and B. Djehiche, "Large deviations for heavy-tailed factor models," *Statistics and Probability Letters*, vol. 79, no. 3, pp. 304-311, 2009.

[56]

R. Buckdahn *et al.*, "MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS : A LIMIT APPROACH," *Annals of Probability*, vol. 37, no. 4, pp. 1524-1565, 2009.

[57]

A. Dermoune, B. Djehiche and N. Rahmania, "Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization," *Studies in Nonlinear Dynamics and Econometrics*, vol. 13, no. 3, 2009.

[58]

B. Djehiche and S. Hamadène, "On a finite horizon starting and stopping problem with risk of abandonment," *International Journal of Theoretical and Applied Finance*, vol. 12, no. 4, pp. 523-543, 2009.

[59]

K. Bahlali *et al.*, "Optimality necessary conditions in singular stochastic control problems with nonsmooth data," *Journal of Mathematical Analysis and Applications*, vol. 355, no. 2, pp. 479-494, 2009.

[60]

B. Djehiche, B. Mezerdi and F. Chighoub, "The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients," *Random Operators and Stochastic Equations*, vol. 17, pp. 35-53, 2009.

[61]

A. Dermoune, B. Djehiche and N. Rahmania, "Consistent estimators of the smoothing parameter in the Hodrick-Prescott Filter," *Journal of the Japan Statistical Society*, vol. 38, no. 2, pp. 225-241, 2008.

[62]

K. Bahlali, B. Djehiche and B. Mezerdi, "On the stochastic maximum principle in optimal control of degenerate diffusions with lipschitz coefficients," *Applied mathematics and optimization*, vol. 56, no. 3, pp. 364-378, 2007.

[63]

S. Bahlali, B. Djehiche and B. Mezerdi, "The relaxed stochastic maximum principle in singular optimal control of diffusions," *SIAM Journal of Control and Optimization*, vol. 46, no. 2, pp. 427-444, 2007.

[64]

B. Djehiche, S. Bahlali and B. Mezerdi, "Existence and optimality necessary conditions in relaxed controlproblems," *Journal of Applied Mathematics and Stochastic Analysis*, 2006.

[65]

B. Djehiche and P. Hörfelt, "Standard approaches to asset and liability risk," *Scandinavian Actuarial Journal*, vol. 5, pp. 377-400, 2005.

[66]

B. Djehiche, "Global solution of the pressureless gas equation with viscosity," *Physica D : Non-linear phenomena*, vol. 163, no. 3-4, pp. 184-190, 2002.

[67]

B. Djehiche, P. Alaton and D. Stillberger, "On Modelling and Pricing Weather Derivatives," *Applied Mathematical Finance*, vol. 9, pp. 1-20, 2002.

[68]

B. Djehiche, "Hedging options in market models modulated by the fractional Brownian motion," *Stochastic Analysis and Applications*, vol. 19, no. 5, pp. 753-770, 2001.

[69]

B. Djehiche, "On large deviations in nonlinear filtration theory," *Studia Mathematica*, vol. 148, no. 1, pp. 5-21, 2001.

[70]

B. Djehiche, "Pressureless gas equations with viscosity and nonlinear diffusion," *Comptes rendus de l'Académie des sciences. Série 1, Mathématique*, vol. 332, no. 8, pp. 745-750, 2001.

[71]

J. Barreiro-Gomez, S. E. Choutri and B. Djehiche, "Stability Via Adversarial Training of Neural Network Stochastic Control of Mean-Field Type," in *2022 IEEE 61ST CONFERENCE ON DECISION AND CONTROL (CDC)*, 2022, pp. 7547-7552.

[72]

Z. E. O. Frihi *et al.*, "Stackelberg Mean-Field-Type Games with Polynomial Cost," in *Proceedings 21th IFAC World Congress*, 2020, pp. 16920-16925.

[73]

J. Barreiro-Gomez *et al.*, "Fractional Mean-Field-Type Games under Non-Quadratic Costs : A Direct Method," in *Proceedings of the IEEE Conference on Decision and Control*, 2019, pp. 293-298.

[74]

A. Bensoussan *et al.*, "Risk-Sensitive Mean-Field-Type Control," in *2017 IEEE 56TH ANNUAL CONFERENCE ON DECISION AND CONTROL (CDC)*, 2017.

[75]

A. Tcheukam, B. Djehiche and H. Tembine, "Evacuation of multi-level building : Design, control and strategic flow," in *Proceedings of the 35th Chinese Control Conference 2016*, 2016, pp. 9218-9223.

[76]

B. Djehiche and H. Tembine, "Risk-sensitive mean-field type control under partial observation," in *Springer Proceedings in Mathematics and Statistics*, 2016, pp. 243-263.

[77]

B. Djehiche, "Statistical estimation techniques in life and disability insurance—a short overview," in *Springer Proceedings in Mathematics and Statistics*, 2016, pp. 127-147.

[78]

B. Djehiche, H. Tembine and R. Tempone, "A stochastic maximum principle for risk-sensitive mean-field-type control," in *Proceedings of the IEEE Conference on Decision and Control*, 2014, pp. 3481-3486.

[79]

B. Djehiche, "Statistical and probabilistic methods in actuarial science," *Scandinavian Actuarial Journal*, no. 2, pp. 168-168, 2009.

[80]

B. Djehiche and A. Gioulekas, "Tail risk optimisation," *Insights/Q4 2009, IPM Informed Portfolio Management AB, Stockholm*, 2009.

[81]

B. Djehiche, "Market-valuation methods in life and pension insurance," *Scandinavian Actuarial Journal*, no. 4, pp. 316-316, 2008.

[82]

S. E. Choutri and B. Djehiche, "Mean-Field Risk Sensitive Control and Zero-Sum Games for Markov Chains," (Manuscript).

[83]

[84]

B. Djehiche and B. Löfdahl, "Aggregation of one-year risks in life and disability insurance," (Manuscript).

[85]

A. Aurell and B. Djehiche, "Behavior near walls in the mean-field approach to crowd dynamics," (Manuscript).

[86]

[87]

B. Djehiche, H. Hult and P. Nyquist, "Importance sampling for a Markovian intensity model with applications to credit risk," (Manuscript).

[88]

B. Djehiche, H. Hult and P. Nyquist, "Min-max representations of viscosity solutions of Hamilton-Jacobi equations and applications in rare-event simulation," (Manuscript).

[89]

B. Djehiche and O. Mazhar, "Non asymptotic estimation lower bounds forLTI state space models with Cramér-Rao and van Trees," (Manuscript).

[90]

B. Djehiche and B. Löfdahl, "Nonlinear reserving in life insurance : aggregation and mean-field approximation," (Manuscript).

Senaste synkning med DiVA:

2023-09-13 01:10:52

**KTH Royal Institute of Technology**

*SE-100 44 Stockholm Sweden +46 8 790 60 00*