322 citations · 403 across the 40 of their papers we have counts for
17 papers · 1 filter
Convergence rate for random walk approximations of mean field BSDEs
Boualem Djehiche, Hannah Geiss, Stefan Geiss +2
We study the rate of convergence w.r.t.~a Wasserstein type distance for random walk approximations of mean field BSDEs. Our method does not use the particle method but instead a fr…
Time-inconsistent mean-field optimal stopping: A limit approach
Boualem Djehiche, Mattia Martini
We provide a characterization of an optimal stopping time for a class of finite horizon time-inconsistent optimal stopping problems (OSPs) of mean-field type, adapted to the Browni…
A propagation of chaos result for weakly interacting nonlinear Snell envelopes
Boualem Djehiche, Roxana Dumitrescu, Jia Zeng
In this article, we establish a propagation of chaos result for weakly interacting nonlinear Snell envelopes which converge to a class of mean-field reflected backward stochastic d…
Mean-field reflected backward stochastic differential equations
Boualem Djehiche, Romuald Elie, Said Hamadène
In this paper, we study a class of reflected backward stochastic differential equations (BSDEs) of mean-field type, where the mean-field interaction in terms of the distribution of…
Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients
Boualem Djehiche, Said Hamadene, Ibtissem Hdhiri +1
We study a class of infinite horizon impulse control problems with execution delay when the dynamics of the system is described by a general adapted stochastic process. The problem…
Mean-field backward-forward stochastic differential equations and nonzero sum stochastic differential games
Yinggu Chen, Boualem Djehiche, Said Hamadene
We study a general class of fully coupled backward-forward stochastic differential equations of mean-field type (MF-BFSDE). We derive existence and uniqueness results for such a sy…
Mean-field risk sensitive control and zero-sum games for Markov chains
Salah Eddine Choutri, Boualem Djehiche
We establish existence of controlled Markov chain of mean-field type with unbounded jump intensities by means of a fixed point argument using the Wasserstein distance. Using a Mark…
Quenched mass transport of particles towards a target
Bruno Bouchard, Boualem Djehiche, Idris Kharroubi
We consider the stochastic target problem of finding the collection of initial laws of a mean-field stochastic differential equation such that we can control its evolution to ensur…
Importance sampling for a simple Markovian intensity model using subsolutions
Boualem Djehiche, Henrik Hult, Pierre Nyquist
This paper considers importance sampling for estimation of rare-event probabilities in a specific collection of Markovian jump processes used for e.g. modelling of credit risk. Pre…
Optimal control and zero-sum stochastic differential game problems of mean-field type
Boualem Djehiche, Said Hamadène
We establish existence of nearly-optimal controls, conditions for existence of an optimal control and a saddle-point for respectively a control problem and zero-sum differential ga…
Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type
Said Hamadene, Xuzhe Zhao
In this paper, we study systems of nonlinear second-order variational inequalities with interconnected bilateral obstacles with non-local terms. They are of min-max and max-min typ…
A Full Balance Sheet Two-modes Optimal Switching problem
Boualem Djehiche, Ali Hamdi
We formulate and solve a finite horizon full balance sheet two-modes optimal switching problem related to trade-off strategies between expected profit and cost yields. Given the cu…
On the Equality of Solutions of Max-Min and Min-Max Systems of Variational Inequalities with Interconnected Bilateral Obstacles
Boualem Djehiche, Said Hamadène, Marie-Amélie Morlais +1
In this paper, we deal with the solutions of systems of PDEs with bilateral inter-connected obstacles of min-max and max-min types. These systems arise naturally in stochastic swit…
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…
Mean-field backward stochastic differential equations: A limit approach
Rainer Buckdahn, Boualem Djehiche, Juan Li +1
Mathematical mean-field approaches play an important role in different fields of Physics and Chemistry, but have found in recent works also their application in Economics, Finance…
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…