5 citations · 10 across the 4 of their papers we have counts for
4 papers
Stochastic Impulse Control of Non-Markovian Processes
Boualem Djehiche, Said Hamadene, Ibtissam Hdhiri
We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of…
Large Deviations for Heavy-Tailed Factor Models
Boualem Djehiche, Jens Svensson
We study large deviation probabilities for a sum of dependent random variables from a heavy-tailed factor model, assuming that the components are regularly varying. We identify con…
A maximum principle for relaxed stochastic control of linear SDE's with application to bond portfolio optimization
Daniel Andersson, Boualem Djehiche
We study relaxed stochastic control problems where the state equation is a one dimensional linear stochastic differential equation with random and unbounded coefficients. The two m…
A Finite Horizon Optimal Multiple Switching Problem
Boualem Djehiche, Said Hamadene, Alexandre Popier
We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The p…