B
Boualem Djehiche
Researcher at Royal Institute of Technology
Publications - 131
Citations - 2827
Boualem Djehiche is an academic researcher from Royal Institute of Technology. The author has contributed to research in topics: Stochastic differential equation & Maximum principle. The author has an hindex of 24, co-authored 127 publications receiving 2472 citations.
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On modelling and pricing weather derivatives
TL;DR: In this article, the main objective of the work described is to find a pricing model for weather derivatives with payouts depending on temperature, using historical data to suggest a stochastic process that describes the evolution of the temperature.
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A Maximum Principle for SDEs of Mean-Field Type
TL;DR: In this paper, the 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 as well as the state of the process, is studied.
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A General Stochastic Maximum Principle for SDEs of Mean-field Type
TL;DR: In this paper, the optimal control for stochastic differential equations (SDEs) of mean-field type, in which the coefficients depend on the state of the solution process as well as of its expected value, was studied.
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Mean-field backward stochastic differential equations : a limit approach
TL;DR: In this paper, a special mean-field problem in a purely stochastic approach is investigated for the solution (Y, Z) of a mean field backward stochastastic differential equation with solution X, where coefficients are governed by N independent copies of (X-N, Y, N, Z, Z(N)).
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A Finite Horizon Optimal Multiple Switching Problem
TL;DR: The problem of optimal multiple switching in a finite horizon when the state of the system is a general adapted stochastic process is considered and it is shown that the associated vector of value functions provides a viscosity solution to a system of variational inequalities with interconnected obstacles.