Professor of mathematical statistics
Address: Department of Mathematics, KTH, 100 44 Stockholm
Phone: +46 8 790 78 75
Fax: +46 8 723 17 88
I am at the Division of Mathematical Statistics of the Department
of mathematics, KTH, Stockholm,
Sweden. You find me at the Mathematics Department room 3536 Lindstedtsvägen 25. Map.
My research interests are in the area of Stochastic Analysis and include the Theory of Large Deviations, Superprocesses and Interacting Particle Systems, with applications in Euclidean Quantum Mechanics, Insurance Mathematics, Mathematical finance and Mathematical Epidemiology.
- B. Djehiche and M. Huang (2016): A characterization of sub-game perfect equilibria for SDEs of mean field type.
Dynamic Games and Applications. March 2016, Volume 6, Issue 1, pp 55-81. [pdf]
- B. Djehiche and B. Lofdhal (2016): Aggregation of one-year risks in life and disability insurance. To appear in the Annals of Actuarial Science.
- B. Djehiche and H. Nassar (2016): A Functional Hodrick-Prescott Filter. Journal of Inverse and Ill-Posed Problems (JIIP), DeGruyter DOI: 10.1515/jiip-2015-0111.
- B. Djehiche, A. Hilbert and H. Nassar (2016): On the functional Hodrick-Prescott filter with non-compact operators. Random Operators and Stochastic Equations. Volume 24, Issue 1, Pages 33-42, February 2016.
- B. Djehiche and B. Lofdhal (2016): Nonlinear reserving in life insurance: aggregation and mean-field approximation. To appear in Insurance, Mathematics and Economics (IME).
- A. Tcheukam, B. Djehiche and H. Tembine (2016): Evacuation of Multi-Level Building: Design, Control and Strategic Flow. Proceedings of the 35th Chinese Control Conference, July 27-29, 2016, Chengdu, China.
- B. Djehiche, S. Hamadene, M-A. Morlais, Xuzhe Zhao (2017): On the Equality of Solutions of Max-Min and Min-Max Systems of Variational Inequalities with Interconnected Bilateral Obstacles. To appear in Journal of Mathematical Analysis and Applications.
- B. Djehiche and B. Lofdhal (2015): Systematic disability risk in Solvency II (Preprint).
- B. Djehiche and S. Hamadene (2016): Optimal control and zero-sum stochastic differential game problems of mean-field type (Preprint: arXiv:1603.06071).
- B. Djehiche, A. Tcheukam and H. Tembine (2016): Mean-Field-Type Games in Engineering (Preprint: arXiv:1605.03281).
- S. Choutri, B. Djehiche and H. Tembine (2016): Optimal Control and Zero-Sum Games for Markov Chains of Mean-Field Type (Preprint: arXiv:1606.04244).
Links to some Mathematical Statistics sites can be found at the
Mathematical Statistics home page.