Publikationer av Boualem Djehiche
Refereegranskade
Artiklar
[1]
S. Rujivan et al., "Analytical computation of conditional moments in the extended Cox-Ingersoll-Ross process with regime switching : Hybrid PDE system solutions with financial applications," Mathematics and Computers in Simulation, vol. 229, s. 176-202, 2025.
[2]
B. Djehiche, R. Elie och S. Hamadene, "Mean-Field Reflected Backward Stochastic Differential Equations," The Annals of Applied Probability, vol. 33, no. 4, s. 2493-2518, 2023.
[3]
B. Djehiche och M. Martini, "Time-inconsistent mean-field optimal stopping: A limit approach," Journal of Mathematical Analysis and Applications, vol. 528, no. 1, 2023.
[4]
B. Djehiche, H. Hult och P. Nyquist, "Importance Sampling for a Simple Markovian Intensity Model Using Subsolutions," ACM Transactions on Modeling and Computer Simulation, vol. 32, no. 2, s. 1-25, 2022.
[5]
B. Djehiche et al., "Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients," Mathematics of Operations Research, vol. 47, no. 1, s. 665-689, 2022.
[6]
B. Djehiche et al., "Optimal portfolio choice with path dependent benchmarked labor income : A mean field model," Stochastic Processes and their Applications, vol. 145, s. 48-85, 2022.
[7]
B. Djehiche, O. Mazhar och C. R. Rojas, "Finite impulse response models : A non-asymptotic analysis of the least squares estimator," Bernoulli, vol. 27, no. 2, s. 976-1000, 2021.
[8]
Y. Chen, B. Djehiche och S. Hamadène, "Mean-field backward-forward stochastic differential equations and nonzero sum stochastic differential games," Stochastics and Dynamics, vol. 21, no. 06, 2021.
[9]
N. Agram och 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, s. 104989, 2021.
[10]
B. Djehiche och B. Löfdahl, "Quantum Support Vector Regression for Disability Insurance," Risks, vol. 9, no. 12, s. 216, 2021.
[11]
A. Aurell och B. Djehiche, "Behavior near walls in the mean-field approach to crowd dynamics," SIAM Journal on Applied Mathematics, vol. 80, no. 3, s. 1153-1174, 2020.
[12]
X. Wang et al., "Credit Scoring Based on the Set-Valued Identification Method," Journal of Systems Science and Complexity, 2020.
[13]
Y. Li et al., "Credit scoring by incorporating dynamic networked information," European Journal of Operational Research, vol. 286, no. 3, s. 1103-1112, 2020.
[14]
M. K. Dao och 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.
[15]
A. Bensoussan et al., "Mean-Field-Type Games with Jump and Regime Switching," Dynamic Games and Applications, vol. 10, no. 1, s. 19-57, 2020.
[16]
M. C. Christiansen och B. Djehiche, "Nonlinear reserving and multiple contract modifications in life insurance," Insurance, Mathematics & Economics, vol. 93, s. 187-195, 2020.
[17]
B. Djehiche och S. Hamadene, "Optimal Control and Zero-Sum Stochastic Differential Game Problems of Mean-Field Type," Applied mathematics and optimization, vol. 81, no. 3, s. 933-960, 2020.
[18]
B. Djehiche, J. Barreiro-Gomez och H. Tembine, "Price Dynamics for Electricity in Smart Grid Via Mean-Field-Type Games," Dynamic Games and Applications, vol. 10, no. 4, s. 798-818, 2020.
[19]
B. Bouchard, B. Djehiche och I. Kharroubi, "Quenched Mass Transport of Particles Toward a Target," Journal of Optimization Theory and Applications, vol. 186, no. 2, s. 345-374, 2020.
[20]
X. Wang, B. Djehiche och X. Hu, "Credit rating analysis based on the network of trading information," The journal of network theory in finance, vol. 5, no. 1, s. 47-65, 2019.
[21]
S. E. Choutri och B. Djehiche, "Mean-field risk sensitive control and zero-sum games for Markov chains," Bulletin des Sciences Mathématiques, vol. 152, s. 1-39, 2019.
[22]
B. Djehiche, J. Barreiro-Gomez och H. Tembine, "Mean-field-type games for blockchain-based distributed power networks," Studies in Computational Intelligence, vol. 809, s. 45-64, 2019.
[23]
A. Aurell och B. Djehiche, "Modeling tagged pedestrian motion : A mean-field type game approach," Transportation Research Part B : Methodological, vol. 121, s. 168-183, 2019.
[24]
S. E. Choutri, B. Djehiche och H. Tembine, "OPTIMAL CONTROL AND ZERO-SUM GAMES FOR MARKOV CHAINS OF MEAN-FIELD TYPE," Mathematical Control and Related Fields, vol. 9, no. 3, s. 571-605, 2019.
[25]
B. Djehiche och B. Löfdahl, "A Hidden Markov Approach to Disability Insurance," North American Actuarial Journal, vol. 22, no. 1, s. 119-136, 2018.
[26]
A. Aurell och B. Djehiche, "Mean-field type modeling of nonlocal crowd aversion in pedestrian crowd dynamics," SIAM Journal of Control and Optimization, vol. 56, no. 1, s. 434-455, 2018.
[27]
B. Djehiche, A. Tcheukam och H. Tembine, "A Mean-Field Game of Evacuation in Multilevel Building," IEEE Transactions on Automatic Control, vol. 62, no. 10, s. 5154-5169, 2017.
[28]
B. Djehiche och H. Nassar, "A functional Hodrick-Prescott filter," Journal of Inverse and Ill-Posed Problems, vol. 25, no. 2, s. 135-148, 2017.
[29]
B. Djehiche, A. Tcheukam och H. Tembine, "Mean-field-type games in engineering," AIMS Electronics and Electrical Engineering, vol. 1, no. 1, s. 18-73, 2017.
[30]
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, s. 148-175, 2017.
[31]
B. Djehiche och M. Huang, "A Characterization of Sub-game Perfect Equilibria for SDEs of Mean-Field Type," Dynamic Games and Applications, vol. 6, no. 1, s. 55-81, 2016.
[32]
B. Djehiche och B. Löfdahl, "Aggregation of 1-year risks in life and disability insurance," Annals of Actuarial Science, vol. 10, no. 2, s. 203-221, 2016.
[33]
B. Djehiche och B. Löfdahl, "Nonlinear reserving in life insurance : Aggregation and mean-field approximation," Insurance, Mathematics & Economics, vol. 69, s. 1-13, 2016.
[34]
B. Djehiche, A. Hilbert och H. Nassar, "On the functional Hodrick-Prescott filter with non-compact operators," Random Operators and Stochastic Equations, vol. 24, no. 1, s. 33-42, 2016.
[35]
B. Djehiche, H. Tembine och R. Tempone, "A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control," IEEE Transactions on Automatic Control, vol. 60, no. 10, s. 2640-2649, 2015.
[36]
B. Djehiche och A. Hamdi, "A full balance sheet two-mode optimal switching problem," Stochastics : An International Journal of Probablitiy and Stochastic Processes, vol. 87, no. 4, s. 604-622, 2015.
[37]
H. Aro, B. Djehiche och B. Löfdahl, "Stochastic modelling of disability insurance in a multi-period framework," Scandinavian Actuarial Journal, no. 1, s. 88-106, 2015.
[38]
B. Djehiche, S. Hamadene och M.-A. Morlais, "Viscosity Solutions of Systems of Variational Inequalities with Interconnected Bilateral Obstacles," Funkcialaj Ekvacioj, vol. 58, no. 1, s. 135-175, 2015.
[39]
B. Djehiche och A. Hamdi, "A Two-modes Mean-field Optimal Switching Problem for The Full Balance Sheet," International Journal of Stochastic Analysis, 2014.
[40]
[41]
B. Djehiche och B. Löfdahl, "Risk aggregation and stochastic claims reserving in disability insurance," Insurance, Mathematics & Economics, vol. 59, s. 100-108, 2014.
[42]
R. Buckdahn, B. Djehiche och J. Li, "A General Stochastic Maximum Principle for SDEs of Mean-field Type," Applied mathematics and optimization, vol. 64, no. 2, s. 197-216, 2011.
[43]
D. Andersson och B. Djehiche, "A maximum principle for SDEs of mean-field type," Applied mathematics and optimization, vol. 63, no. 3, s. 341-356, 2011.
[44]
B. Djehiche, "Actuarial mathematics for life contingent risks," Scandinavian Actuarial Journal, no. 4, s. 318-318, 2011.
[45]
A. Dermoune, B. Djehiche och N. Rahmania, "Estimation of the smoothing parameters in the HPMV filter," ANALELE STIINT UNIV AL I CUZA, vol. 57, no. 1, s. 61-75, 2011.
[46]
B. Djehiche, "Nonlife actuarial models, theory, methods and evaluation," Scandinavian Actuarial Journal, no. 4, s. 319-320, 2011.
[47]
B. Djehiche, N. Rahmania och 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, s. 1-19, 2011.
[48]
B. Djehiche, S. Hamadène och 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, s. 431-448, 2011.
[49]
B. Djehiche, "Regression modeling with actuarial and financial applications," Scandinavian Actuarial Journal, no. 4, s. 319-319, 2011.
[50]
B. Djehiche, M. N'zi och J.-M. Owo, "Stochastic viscosity solutions for SPDEs with continuous coefficients," Journal of Mathematical Analysis and Applications, vol. 384, no. 1, s. 63-69, 2011.
[51]
D. Andersson och 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, s. 273-310, 2010.
[52]
B. Djehiche och J. Rinne, "Can stocks help mend the asset and liability mismatch?," Scandinavian Actuarial Journal, no. 2, s. 148-160, 2010.
[53]
B. Djehiche, S. Hamadene och I. Hdhiri, "Stochastic Impulse Control of Non-Markovian Processes," Applied mathematics and optimization, vol. 61, no. 1, s. 1-26, 2010.
[54]
B. Djehiche, S. Hamadene och A. Popier, "A FINITE HORIZON OPTIMAL MULTIPLE SWITCHING PROBLEM," SIAM Journal of Control and Optimization, vol. 48, no. 4, s. 2751-2770, 2009.
[55]
T. Arnarson et al., "A PDE approach to regularity of solutions to finite horizon optimal switching problems," Nonlinear Analysis, vol. 71, no. 12, s. 6054-6067, 2009.
[56]
J. Svensson och B. Djehiche, "Large deviations for heavy-tailed factor models," Statistics and Probability Letters, vol. 79, no. 3, s. 304-311, 2009.
[57]
R. Buckdahn et al., "MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS : A LIMIT APPROACH," Annals of Probability, vol. 37, no. 4, s. 1524-1565, 2009.
[58]
A. Dermoune, B. Djehiche och N. Rahmania, "Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization," Studies in Nonlinear Dynamics and Econometrics, vol. 13, no. 3, 2009.
[59]
B. Djehiche och 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, s. 523-543, 2009.
[60]
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, s. 479-494, 2009.
[61]
B. Djehiche, B. Mezerdi och F. Chighoub, "The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients," Random Operators and Stochastic Equations, vol. 17, s. 35-53, 2009.
[62]
A. Dermoune, B. Djehiche och N. Rahmania, "Consistent estimators of the smoothing parameter in the Hodrick-Prescott Filter," Journal of the Japan Statistical Society, vol. 38, no. 2, s. 225-241, 2008.
[63]
K. Bahlali, B. Djehiche och B. Mezerdi, "On the stochastic maximum principle in optimal control of degenerate diffusions with lipschitz coefficients," Applied mathematics and optimization, vol. 56, no. 3, s. 364-378, 2007.
[64]
S. Bahlali, B. Djehiche och B. Mezerdi, "The relaxed stochastic maximum principle in singular optimal control of diffusions," SIAM Journal of Control and Optimization, vol. 46, no. 2, s. 427-444, 2007.
[65]
B. Djehiche, S. Bahlali och B. Mezerdi, "Existence and optimality necessary conditions in relaxed controlproblems," Journal of Applied Mathematics and Stochastic Analysis, 2006.
[66]
B. Djehiche och P. Hörfelt, "Standard approaches to asset and liability risk," Scandinavian Actuarial Journal, vol. 5, s. 377-400, 2005.
[67]
B. Djehiche, "Global solution of the pressureless gas equation with viscosity," Physica D : Non-linear phenomena, vol. 163, no. 3-4, s. 184-190, 2002.
[68]
B. Djehiche, P. Alaton och D. Stillberger, "On Modelling and Pricing Weather Derivatives," Applied Mathematical Finance, vol. 9, s. 1-20, 2002.
[69]
B. Djehiche, "Hedging options in market models modulated by the fractional Brownian motion," Stochastic Analysis and Applications, vol. 19, no. 5, s. 753-770, 2001.
[70]
B. Djehiche, "On large deviations in nonlinear filtration theory," Studia Mathematica, vol. 148, no. 1, s. 5-21, 2001.
[71]
B. Djehiche, "Pressureless gas equations with viscosity and nonlinear diffusion," Comptes rendus de l'Académie des sciences. Série 1, Mathématique, vol. 332, no. 8, s. 745-750, 2001.
Konferensbidrag
[72]
J. Barreiro-Gomez, S. E. Choutri och B. Djehiche, "Stability Via Adversarial Training of Neural Network Stochastic Control of Mean-Field Type," i 2022 IEEE 61ST CONFERENCE ON DECISION AND CONTROL (CDC), 2022, s. 7547-7552.
[73]
Z. E. O. Frihi et al., "Stackelberg Mean-Field-Type Games with Polynomial Cost," i Proceedings 21th IFAC World Congress, 2020, s. 16920-16925.
[74]
J. Barreiro-Gomez et al., "Fractional Mean-Field-Type Games under Non-Quadratic Costs : A Direct Method," i Proceedings of the IEEE Conference on Decision and Control, 2019, s. 293-298.
[75]
A. Bensoussan et al., "Risk-Sensitive Mean-Field-Type Control," i 2017 IEEE 56TH ANNUAL CONFERENCE ON DECISION AND CONTROL (CDC), 2017.
[76]
A. Tcheukam, B. Djehiche och H. Tembine, "Evacuation of multi-level building : Design, control and strategic flow," i Proceedings of the 35th Chinese Control Conference 2016, 2016, s. 9218-9223.
[77]
B. Djehiche och H. Tembine, "Risk-sensitive mean-field type control under partial observation," i Springer Proceedings in Mathematics and Statistics, 2016, s. 243-263.
[78]
B. Djehiche, "Statistical estimation techniques in life and disability insurance—a short overview," i Springer Proceedings in Mathematics and Statistics, 2016, s. 127-147.
[79]
B. Djehiche, H. Tembine och R. Tempone, "A stochastic maximum principle for risk-sensitive mean-field-type control," i Proceedings of the IEEE Conference on Decision and Control, 2014, s. 3481-3486.
Icke refereegranskade
Artiklar
[80]
B. Djehiche, "Statistical and probabilistic methods in actuarial science," Scandinavian Actuarial Journal, no. 2, s. 168-168, 2009.
[81]
B. Djehiche och A. Gioulekas, "Tail risk optimisation," Insights/Q4 2009, IPM Informed Portfolio Management AB, Stockholm, 2009.
[82]
B. Djehiche, "Market-valuation methods in life and pension insurance," Scandinavian Actuarial Journal, no. 4, s. 316-316, 2008.
Övriga
[83]
S. E. Choutri och B. Djehiche, "Mean-Field Risk Sensitive Control and Zero-Sum Games for Markov Chains," (Manuskript).
[84]
[85]
B. Djehiche och B. Löfdahl, "Aggregation of one-year risks in life and disability insurance," (Manuskript).
[86]
A. Aurell och B. Djehiche, "Behavior near walls in the mean-field approach to crowd dynamics," (Manuskript).
[87]
[88]
B. Djehiche, H. Hult och P. Nyquist, "Importance sampling for a Markovian intensity model with applications to credit risk," (Manuskript).
[89]
B. Djehiche, H. Hult och P. Nyquist, "Min-max representations of viscosity solutions of Hamilton-Jacobi equations and applications in rare-event simulation," (Manuskript).
[90]
B. Djehiche och O. Mazhar, "Non asymptotic estimation lower bounds forLTI state space models with Cramér-Rao and van Trees," (Manuskript).
[91]
B. Djehiche och B. Löfdahl, "Nonlinear reserving in life insurance : aggregation and mean-field approximation," (Manuskript).
Senaste synkning med DiVA:
2024-11-18 00:18:12