Zobrazeno 1 - 10
of 255
pro vyhledávání: '"Boualem Djehiche"'
Autor:
Boualem, Djehiche, Hamidou, Tembine
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. The optimal strategies for the players are given explicitly using a sim
Externí odkaz:
http://arxiv.org/abs/1412.0037
Autor:
Boualem Djehiche, Björn Löfdahl
Publikováno v:
Risks, Vol 9, Iss 12, p 216 (2021)
We propose a hybrid classical-quantum approach for modeling transition probabilities in health and disability insurance. The modeling of logistic disability inception probabilities is formulated as a support vector regression problem. Using a quantum
Externí odkaz:
https://doaj.org/article/2f746647219f48a98d79f6869912f3af
Publikováno v:
AIMS Electronics and Electrical Engineering, Vol 1, Iss 1, Pp 18-73 (2017)
A mean-field-type game is a game in which the instantaneous payoffs and/or the statedynamics functions involve not only the state and the action profile but also the joint distributionsof state-action pairs. This article presents some engineering app
Externí odkaz:
https://doaj.org/article/cc358e5954c64785bc3e1f7f74757fea
Publikováno v:
ACM Transactions on Modeling and Computer Simulation. 32:1-25
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. Previous attempts at designing importance sampling algorithms have result
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::26b3cb801b3c9ed1ce34bad84086560f
https://doi.org/10.1145/3502432
https://doi.org/10.1145/3502432
Publikováno v:
European Journal of Operational Research. 286:1103-1112
In this paper, the credit scoring problem is studied by incorporating networked information, where the advantages of such incorporation are investigated theoretically in two scenarios. Firstly, a Bayesian optimal filter is proposed to provide risk pr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0abd891e166770621fa8c4ac79d9e500
https://doi.org/10.1016/j.ejor.2020.03.078
https://doi.org/10.1016/j.ejor.2020.03.078
Publikováno v:
Dynamic Games and Applications. 10:798-818
In this article, a profit optimization between electricity producers is formulated and solved. The problem is described by a linear jump-diffusion system of conditional mean-field type where the conditioning is with respect to common noise and a quad
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::91554b57d9d9c4c4ac87662af467d853
https://doi.org/10.1007/s13235-020-00367-8
https://doi.org/10.1007/s13235-020-00367-8
Publikováno v:
Insurance: Mathematics and Economics. 93:187-195
Life insurance cash flows become reserve dependent when contract conditions are modified during the contract term on condition that actuarial equivalence is maintained. As a result, insurance cash flows and prospective reserves depend on each other i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b65c368c568a6474f37710b8c968fa80
https://doi.org/10.1016/j.insmatheco.2020.05.004
https://doi.org/10.1016/j.insmatheco.2020.05.004
Publikováno v:
Journal of Systems Science and Complexity. 33:1297-1309
Credit scoring is one of the key problems in financial risk managements. This paper studies the credit scoring problem based on the set-valued identification method, which is used to explain the re ...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4f682f7fc9f8e361a0214c60c1226a77
https://doi.org/10.1007/s11424-020-9101-4
https://doi.org/10.1007/s11424-020-9101-4
Autor:
Boualem Djehiche, Alexander Aurell
Publikováno v:
SIAM Journal on Applied Mathematics. 80:1153-1174
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 along, walls, by means of sticky boundaries and boundary diffusion. As
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e5e261e653f55119f79399ee43b1781c
https://doi.org/10.1137/19m1267027
https://doi.org/10.1137/19m1267027
Autor:
Zahrate El Oula Frihi, Boualem Djehiche, Julian Barreiro-Gomez, Hamidou Tembine, Salah Eddine Choutri
Publikováno v:
IFAC-PapersOnLine. 53:16920-16925
This article presents a class of Stackelberg mean-field-type games with multiple leaders and multiple followers. The decision-makers act in sequential order with informational differences. The state dynamics is driven by jump-diffusion processes and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4b91073a62a1f2a5f8ccb83d22e2d2c2
https://doi.org/10.1016/j.ifacol.2020.12.1234
https://doi.org/10.1016/j.ifacol.2020.12.1234