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.
- Y. Chen, B. Djehiche and S. Hamadene (2021): Mean-field backward-forward stochastic differential equations and nonzero sum stochastic differential games. Stochastics and Dynamics, Vol. 21, No. 6 (2021) 2150036 DOI: 10.1142/S0219493721500362.(preprint: arXiv:1904.06193v2).
- B. Djehiche S. Hamadene, I. Hdhiri and H. Zaatra (2021): Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients (preprint: arXiv:1904.11924, May 2019). (Mathematics of Operations Research (MOR) https://doi.org/10.1287/moor.2021.1145 ).
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 (2021): Reflected Backward Stochastic Volterra Integral Equations and related time-inconsistent optimal stopping problems. Systems & Control Letters 155 (2021) 104989.
B. Djehiche and B. Lofdahl (2021): Quantum support vector regression for disability insurance. Risks 2021, 9(12), 216; https://doi.org/10.3390/risks9120216.
B. Djehiche, F. Gozzi, G. Zanco, M. Zanella (2021): Optimal portfolio choice with path dependent benchmarked labor income: a mean field model (preprint: arXiv:2009.03922, September 2020) To appear in Stochastic Processes and Their Applications (SPA).
B. Djehiche, H. Hult and P. Nyquist (2021): Importance sampling for a simple Markovian intensity model using subsolutions. To appear in Transactions on Modeling and Computer Simulation (TOMACS).
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).
B. Djehiche and R. Dumitrescu (2022): Zero-sum mean-field Dynkin games: characterization and convergence. (Preprint: arXiv:2202.02126, February 2022).
Links to some Mathematical Statistics sites can be found at the
Mathematical Statistics home page.