Email: boualem@math.kth.se 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 A. Sandstrom (2014): 100 Years of the Scandinavian Actuarial Journal. In 'Modern Problems in Insurance Mathematics'. Edits: D. Silvestrov and A. Martin-Lof, EAA series, Springer.

- B. Djehiche and A. Hamdi (2015): A two-modes mean-field optimal switching for the full balance sheet. International Journal of Stochastic Analysis, Volume 2014, Article ID 159519. [pdf]

- B. Djehiche, S. Hamadene and M-A. Morlais (2015): Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles. Funkcialaj Ekvacioj, 58, pp. 135-175.

- B. Djehiche and M. Huang (2015): A characterization of sub-game perfect equilibria for SDEs of mean field type. Dynamic Games and Applications. DOI:10.1007/s13235-015-0140-8. [pdf]

- B. Djehiche, H. Tembine and R. Tempone (2015): A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control. IEEE Transactions on Automatic Control.Vol 60(10), pp. 2640-2649.

- B. Djehiche and H. Tembine (2015): Risk-Sensitive Mean-Field Type Control under Partial Observation. In Stochastics in environmental and financial economics (edited by F. E. Benth and G. Di Nunno), Springer Proceedings in Mathematics and Statistics. [pdf]

- B. Djehiche and A. Hamdi (2015): A full balance sheet two-modes optimal switching problem. Stochastics and Stochastics Reports, 87:4, 604-622, DOI: 10.1080/17442508.2014.991324

- 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).

- 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).

- Editor-in-Chief of Scandinavian Actuarial Journal.

- Associate Editor of Finance and Stochastics.

- Co-editor of European Actuarial Journal.

Links to some Mathematical Statistics sites can be found at the Mathematical Statistics home page.