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 Department of Mathematics room 3536 Lindstedtsvägen 25. Map.

My current research interests are in the area of Stochastic Analysis and include Stochastic Control and Differential Games, Insurance Mathematics and Mathematical Finance.

• Selected list of publications.

Recent papers

• B. Djehiche, R. Elie and S. Hamadene (2023): Mean-field reflected backward stochastic differential equations. The Annals of Applied Probability, vol. 33, no. 4, s. 2493-2518, 2023.

• B. Djehiche and M. Martini (2023): Time-inconsistent mean-field optimal stopping: A limit approach.Journal of Mathematical Analysis and Applications, Volume 528, Issue 1, 2023, 127582, ISSN 0022-247X, https://doi.org/10.1016/j.jmaa.2023.127582. See also the corrigendum. >

• N. Chikhi and B. Djehiche (2024): Patients transportation in surgery scheduling problem. Journal of Systems Science and Complexity, 2024, 37(3): 1100-1113 https://doi.org/10.1007/s11424-024-3073-8

• B. Djehiche and R. Dumitrescu (2024): Zero-sum mean-field Dynkin games: characterization and convergence. (Preprint: arXiv:2202.02126, February 2022). To appear in Mathematics of Operations Research.

• B. Djehiche (2024): On the value of a time-inconsistent mean-field zero-sum Dynkin game. Math Finan Econ 18, 483-513 (2024). https://doi.org/10.1007/s11579-024-00367-x

• B. Djehiche and H. Tembine (2024): The outcomes of generative AI are exactly the Nash equilibria of a non-potential game. (Preprint: https://arxiv.org/abs/2401.12321, January 2024). To appear in Partial Identification in Econometrics and Related Topics, N. Ngoc Thach et al. (eds.), Studies in Systems, Decision and Control 531, Springer. https://doi.org/10.1007/978-3-031-59110-5_4.

• S. Rujivan, N. Thamrongrat, P. Juntanon and B. Djehiche (2025): 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.

• Djehiche, B., and Mazhar, O. (2025). An optimal non-asymptotic journey through system identification with least squares. In N. N. Thach, N. D. Trung, D. T. Ha, \& V. Kreinovich (Eds.), Artificial Intelligence and Machine Learning for Econometrics: Applications and Regulation and Related Topics. Springer, Studies in Systems, Decision, and Control series.

• A. Sutchada, S. Rujivan, B. Djehiche (2025): Analytical Pricing of Commodity Futures with Correlated Jumps and Seasonal Effects: An Empirical Study of Thailand's Natural Rubber Market. Mathematics 2025, 13, 770. https://doi.org/10.3390/ math13050770.

• S. Choutri, B. Djehiche and O. Mazhar (2025): Empirical Validation of Novel Non-Asymptotic Bounds on the Least Squares Estimator for LTI Systems (to appear in Asian Journal of Economics and Banking).

Manuscripts

• B. Djehiche and O. Mazhar (2021): Non asymptotic estimation lower bounds for LTI state space models with Cramer-Rao and van Trees. (Preprint: arXiv:2109.08582, September 2021).

• B. Djehiche, R. Dumitrescu and J. Zeng (2021): A propagation of chaos result for weakly interacting nonlinear Snell envelopes. (Preprint: arXiv:2111.14315, November 2021).

• B. Djehiche and O. Mazhar (2022): Efficient learning of hidden state LTI state space models of unknown order. (Preprint: arXiv:2202.01625, February 2022).

• S. Liang, K-N. Wu, B. Djehiche and X. Hu (2024): Nonlinear boundary control for stochastic generalized Burgers-KdV equations with Levy noise (submitted).

• C. Bayer, B. Djehiche, E. Rezvanova and R.F. Tempone (2024): Continuous time Stochastic optimal control under discrete time partial observations. (Preprint: arXiv:2407.18018, July 2024).

• B. Djehiche, H. Geiss, S. Geiss, C. Labart, J. Nyk{\"a}nen (2024): Convergence rate for random walk approximations of mean field BSDEs. (Preprint: arXiv:2409.14212, September 2024).

• B. Djehiche and S. Hamadene (2025): Discrete-time stochastic impulse control with delay. (Preprint: arXiv:2501.10444, January 2025).

• Boualem Djehiche, Tyrone E. Duncan, Bozenna Pasik-Duncan, Hamidou Tembine (2025): Singular Mean-Field-Type Game Theory (submitted).

Editorial duties

• Scandinavian Actuarial Journal (Editor-in-Chief).

• Finance and Stochastics ( Associate Editor).

• European Actuarial Journal (Co-Editor).

• Asian Journal of Economics and Banking (Member of the Editorial Advisory Board).

• AIMS Mathematics (Editor).

• Axioms (Associate Editor).

• Journal of Multivariate Analysis (Associate Editor).

• Quantum Economics and Finance (Member of the Editorial Board: Quantum Formalism in Financial Derivative Pricing/Other Areas).