Professor of mathematical statistics
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.
- B. Djehiche, J. Barriero-Gomez, H. Tembine (2019): Price dynamics for electricity in smart grid via mean-field-type games. Chapter 3 (pp. 45-64) in: Beyond Traditional Probabilistic Methods in Economics. Editors: Vladik Kreinovich, Nguyen Duc Trung, and Nguyen Ngoc Thach. Series Title: Studies in Computational Intelligence (809), Springer (2019).
- S. Choutri, B. Djehiche and H. Tembine (2019): Optimal Control and Zero-Sum Games for Markov Chains of Mean-Field Type. Mathematical Control & Related Fields vol.9(3), September 2019.
- S. Choutri and B. Djehiche (2019): Mean-field risk sensitive control and zero-sum games for Markov chains. Bull. Sci. math. 152 (2019) 1-39.
- A. Aurell and B. Djehiche (2019): Modeling tagged pedestrian motion: a mean-field type game approach. Transportation Research Part B: Methodological, 121, pp 168-183.
- X. Wang, B. Djehiche, X. Hu (2019): Credit rating analysis based on the network of trading information". Journal of Network Theory in Finance (Risk journals) Volume 5, Number 1, Pages: 47-65 (July 2019).
- J. Barreiro-Gomez, B. Djehiche, T. E. Duncan, B. Pasik-Duncan, H. Tembine (2019):
Fractional Mean-Field-Type Games under Non-Quadratic Costs: A Direct Method. Proceedings of the 2019 IEEE Conference on Decision and Control (CDC).
- A. Bensoussan, B. Djehiche, H. Tembine and P. Yam (2020): Mean-Field-Type games with jump and regime switching. Dyn Games Appl 10, 19-57 (2020). https://doi.org/10.1007/s13235-019-00306-2.
- M-K. Dao and B. Djehiche (2020): Hamilton-Jacobi equations for optimal control on multidimensional junctions with entry costs. Nonlinear Differ. Equ. Appl. (NDEA) 27, Article number: 23 (2020). https://doi.org/10.1007/s00030-020-0625-z.
A. Aurell and B. Djehiche (2020): Behavior near walls in the mean field approach to crowd motion. SIAM J. Appl. Math., 80(3), 1153-1174.
J. Barreiro-Gomez, S. Choutri, B. Djehiche, Z. Frihi, H. Tembine (2020): Stackelberg Mean-Field-Type Games with Polynomial Cost. Proceedings of the 21st IFAC World Congress in Berlin, Germany, July 12-17, 2020.
M. C. Christiansen and B. Djehiche (2020): Nonlinear reserving and multiple contract modifications in life insurance. Insurance: Mathematics and Economics 93 (2020) 187-195.
- Y. Li, X. Wang, B. Djehiche, X. Hu (2020): Credit Scoring by Incorporating Dynamic Network Information. European Journal of Operational Research 286 (2020) 1103-1112
- J. Barreiro-Gomez, B. Djehiche and H. Tembine (2020): Price Dynamics for Electricity in Smart Grid Via Mean-Field-Type Games. Dynamic Games and Applications (DGAA), https://doi.org/10.1007/s13235-020-00367-8
- X. Wang, M. Hu, Y. Zhao and B. Djehiche (2020): Credit Scoring Based on the Set-Valued Identification Method. Journal of Systems Science and Complexity. https://doi.org/10.1007/s11424-020-9101-4
- B. Bouchard, B. Djehiche and I. Kharroubi (2020): Quenched mass transport of particles towards a target. Journal of Optimization Theory and Applications. DOI: 10.1007/s10957-020-01704-y
- Y. Chen, B. Djehiche and S. Hamadene (2020): Mean-field backward-forward stochastic differential equations and nonzero sum stochastic differential games (preprint: arXiv:1904.06193v2). To appear in Stochastics and Dynamics.
- B. Djehiche S. Hamadene, I. Hdhiri and H. Zaatra (2020): Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients (preprint: arXiv:1904.11924, May 2019). To appear in MOR (Mathematics of Operations Research).
B. Djehiche, R. Elie and S. Hamadene (2020): Mean-field reflected backward stochastic differential equations (preprint: arXiv:1911.06079, November 2019).To appear in the Annals of Applied Probability.
B. Djehiche, O. Mazhar and C. Rojas (2021): Finite impulse response
models: A non-asymptotic analysis of the least squares estimator. Bernoulli 27(2), 2021, 976-1000
N. Agram, B. Djehiche (2020): Reflected Backward Stochastic Volterra Integral Equations and related time-inconsistent optimal stopping problems (preprint: arXiv:2004.11654, April 2020).
B. Djehiche, F. Gozzi, G. Zanco, M. Zanella (2020): Optimal portfolio choice with path dependent benchmarked labor income: a mean field model (preprint: arXiv:2009.03922, September 2020).
Links to some Mathematical Statistics sites can be found at the
Mathematical Statistics home page.