Boualem Djehiche
Professor of mathematical statistics
Email: boualem@math.kth.se
Address: Department of Mathematics, KTH, 100 44 Stockholm
Phone (office): +46 8 790 78 75
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.
Recent papers
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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 (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.
- Djehiche B, Dumitrescu R (2025). Zero-sum mean-field Dynkin games: characterization and convergence. Mathematics of Operations Research. 2025 May 22.
- 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).
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Boualem Djehiche, Roxana Dumitrescu, Jia Zeng (2025):
A propagation of chaos result for weakly interacting nonlinear Snell envelopes,
Stochastic Processes and their Applications,
Volume 188,
2025,
Manuscripts
- 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\"anen (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).
- Salah Eddine Choutri, Boualem Djehiche, Prajwal Chauhan, Saif Eddin Jabari(2025): Backpressure-based Mean-field Type Game for Scheduling in Multi-Hop Wireless Sensor Networks. (Preprint: arXiv:2506.03059, June 2025).
Editorial duties
Links to some Mathematical Statistics sites can be found at the
Mathematical Statistics home page.
