322 citations · 403 across the 40 of their papers we have counts for
19 papers · 1 filter
Discrete time stochastic impulse control with delay
Said Hamadène, Boualem Djehiche
We study a class of infinite-horizon impulse control problems with execution delay in discrete time. Using probabilistic methods, particularly the notion of the Snell envelope of p…
Continuous time Stochastic optimal control under discrete time partial observations
Christian Bayer, Boualem Djehiche, Eliza Rezvanova +1
This work addresses stochastic optimal control problems where the unknown state evolves in continuous time while partial, noisy, and possibly controllable measurements are only ava…
Stability Via Adversarial Training of Neural Network Stochastic Control of Mean-Field Type
Julian Barreiro-Gomez, Salah Eddine Choutri, Boualem Djehiche
In this paper, we present an approach to neural network mean-field-type control and its stochastic stability analysis by means of adversarial inputs (aka adversarial attacks). This…
Zero-sum mean-field Dynkin games: characterization and convergence
Boualem Djehiche, Roxana Dumitrescu
We introduce a zero-sum game problem of mean-field type as an extension of the classical zero-sum Dynkin game problem to the case where the payoff processes might depend on the val…
Optimal portfolio choice with path dependent benchmarked labor income: a mean field model
Boualem Djehiche, Fausto Gozzi, Giovanni Zanco +1
We consider the life-cycle optimal portfolio choice problem faced by an agent receiving labor income and allocating her wealth to risky assets and a riskless bond subject to a borr…
Behavior near walls in the mean-field approach to crowd dynamics
Alexander Aurell, Boualem Djehiche
This paper introduces a system of stochastic differential equations (SDE) of mean-field type that models pedestrian motion. The system lets the pedestrians spend time at, and move…
Modeling tagged pedestrian motion: a mean-field type game approach
Alexander Aurell, Boualem Djehiche
This paper suggests a model for the motion of tagged pedestrians: pedestrians moving towards a specified targeted destination, which they are forced to reach. It aims to be a decis…
Risk-Sensitive Mean-Field-Type Control
Alain Bensoussan, Boualem Djehiche, Hamidou Tembine +1
We study risk-sensitive optimal control of a stochastic differential equation (SDE) of mean-field type, where the coefficients are allowed to depend on some functional of the law a…
Mean-field type modeling of nonlocal crowd aversion in pedestrian crowd dynamics
Alexander Aurell, Boualem Djehiche
We extend the class of pedestrian crowd models introduced by Lachapelle and Wolfram (2011) to allow for nonlocal crowd aversion and arbitrarily but finitely many interacting crowds…
Optimal control and zero-sum games for Markov chains of mean-field type
Salah Eddine Choutri, Boualem Djehiche, Hamidou Tembine
We establish existence of Markov chains of mean-field type with unbounded jump intensities by means of a fixed point argument using the Total Variation distance. We further show ex…
Mean-Field-Type Games in Engineering
Boualem Djehiche, Alain Tcheukam, Hamidou Tembine
A mean-field-type game is a game in which the instantaneous payoffs and/or the state dynamics functions involve not only the state and the action profile but also the joint distrib…
The Principal-Agent Problem With Time Inconsistent Utility Functions
Boualem Djehiche, Peter Helgesson
In this paper we study a generalization of the continuous time Principal-Agent problem allowing for time inconsistent utility functions, for instance of mean-variance type. Using r…
On the Solvability of Risk-Sensitive Linear-Quadratic Mean-Field Games
Djehiche Boualem, Tembine Hamidou
In this paper we formulate and solve a mean-field game described by a linear stochastic dynamics and a quadratic or exponential-quadratic cost functional for each generic player. T…
Risk-Sensitive Mean-Field Type Control under Partial Observation
Boualem Djehiche, Hamidou Tembine
We establish a stochastic maximum principle (SMP) for control problems of partially observed diffusions of mean-field type with risk-sensitive performance functionals.
The Principal-Agent Problem; A Stochastic Maximum Principle Approach
Boualem Djehiche, Peter Helgesson
We study a general class of Principal-Agent problems in continuous time under hidden action. By formulating the model as a coupled stochastic optimal control problem we are able to…
Mean-Field Games for Marriage
Dario Bauso, Ben Mansour Dia, Boualem Djehiche +2
This article examines mean-field games for marriage. The results support the argument that optimizing the long-term well-being through effort and social feeling state distribution…
A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
Boualem Djehiche, Hamidou Tembine, Raul Tempone
In this paper we study mean-field type control problems with risk-sensitive performance functionals. We establish a stochastic maximum principle (SMP) for optimal control of stocha…
A characterization of sub-game perfect Nash equilibria for SDEs of mean field type
Boualem Djehiche, Minyi Huang
We study a class of dynamic decision problems of mean field type with time inconsistent cost functionals, and derive a stochastic maximum principle to characterize subgame perfect…
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…