(
page en francais
A link towards the french version.)
Doctor in Applied Mathematics
PhD thesis defended the 12 October 2007 at the University of de Rennes 1
Present situation (since September 2008)
Lecturer at the university of Le Mans, France.
RESEARCH ACTIVITIES
Publications (and submitted preprints) :
Existence and uniqueness of viscosity solutions for second order integro-differential equations without monotonicity conditions
(J.w.w Boualem Djehiche (KTH Stockholm) and Said Hamadène LMM Le Mans
Available on arxiV site in November 2014: ( arXiv:1411.2266)
On the Equality of Solutions of Max-Min and Min-Max Systems of Variational Inequalities with Interconnected Bilateral Obstacles
(J.w.w Boualem Djehiche (KTH Stockholm) Said Hamadène LMM and Zhao
Xuzhe LMM) Xuzhe LMM) and submitted to Journal of Mathematical Analysis and Applications (JMAA) in September 2014.
Viscosity Solutions
of Systems of Variational Inequalities with Interconnected Bilateral Obstacles.
(Jww Boualem Djehiche (KTH Stockholm) and Said Hamadène)
Submitted in October 2012 and accepted in September 2014.
Viscosity Solutions of Systems of PDEs with Interconnected Obstacles and Multi-Modes Switching Problem
Jww Said Hamadène (Le Mans), Accepted to Applied Mathematics and Optimization in September 2012 (DOI: 10.1007/s00245-012-9184-y)
and available on ArxiV: .lien arxiV
Reflected backward stochastic differential equations and nonlinear dynamic pricing rule
Accepted to Stochastics (December 2011) and current version available on ArxiV: .lien arxiV
Optimal stopping of expected profit and cost yields in an investment under uncertainty
(Jww Boualem Djehiche and Said Hamadene)
Accepted to stochastics in July 2010 and available on arxiV: .ARXIV
A new existence result for BSDEs with jumps and application to the utility maximization problem,
Accepted for publication in May 2010 to Stochastic processes and their applications
and available here .pdf
Quadratic BSDEs driven by a continuous Martingale and application to Utility Maximization.
PDF file available here (.pdf ) or on the web site of arxiV (
.ARXIV )
Published in Finance and stochastics, February 2009.
Utility Maximization in a jump market model. Available here (.pdf ) Published in Stochastics (February 2009) and accepted for oral presentation at Bachelier colloquium, London, July 2008
PhDthesis (September 2004-October 2007)
Backward stochastic differential equations with quadratic growth
and applications .
Manuscript available at the following address: CCSD site
Thesis defended at the university of Rennes 1 and supervised by Professor Ying Hu
Post doctoral situation (November 2007-June 2008)
Post doctorant at the ETH (Zurich, Switzerland) with Professor Delbaen.
Talks given during conferences and seminars:
- July 2012: International conference in Iasi (ROMANIA) on both deterministic and stochastic control.
- 8 June 2012: Invitation to the research seminar at University of Paris (Marne La Vall´ee)
- March 2012: Conference at Roscoff (Brest, FRANCE)
- March 2012:
- June 2011: International conferences on Mathematical finance and on BSDEs ("6th International symposium on BSDEs"), Los Angeles California, UNITED STATES
- December 2010: Conference at Marrakech MOROCCO
- March 2010: Meeting on Stochastic control at Roscoff, FRANCE
- February 2010: Invitation to the research seminary of the CMAP, Ecole Polytechnique, Paris FRANCE.
- Fin Octobre 2009: Invitation de 15 jours à l'université d'Edmonton, Alberta CANADA
- February 2009: Invitation to the research seminary at the Technical University (TU), Berlin (GERMANY).
- September 2008: Presentation during the "Journée des nouveaux recrutés", Research federation (Pays de la Loire), Nantes.
- 15-19 July 2008: International congress Bachelier at the Imperial college, London (Great Britain).
- 8-13 January 2008: Bachelier colloquium, Metabief, France
- October 2007: Talk at the research seminar at the university of Bordeaux 1.
- 22 June 2007 : Talk at the "Séminaire Bachelier" , I.H.P, University Pierre et Marie Curie, Paris, France .
- 10 May 2007 : Seminary of "Probability and Mathematical Finance" at the University of Evry Val d'Essonne, France.
- 14 December 2006: Seminary "Talks in Financial and insurance Mathematics" at the ETH, Zurich SUISSE.
- September 2006: BSDEs and application to finance: comparison between two frameworks
, French meeting "Journees de
probabilités 2006" CIRM à in Marseille (18-22 September 2006)
- 8 September 2006: Quadratic BSDEs with jumps and application to utility maximization
, Workshop on Financial modelling with jump processes
Ecole Polytechnique Palaiseau Paris (6-8 Septembre 2006)
- April 2006: BSDEs in a continuous filtration and
application to Finance, French meeting "Colloque Jeunes Probabilistes et Statisticiens"
Aussois (23-28 April 2006)
- March 2006: BSDEs in a continuous filtration and
application to Finance, Seminary (at the laboratory of Le
Mans) available at the following adress Processus
Stochastiques
- September 2005: Application of the theory of BSDEs to finance , French conference "Journées de
probabilités" 2005 Nancy
- July 2005: Application of the theory of BSDEs to finance,
French summer school (in Probabilities)
Saint Flour (France)
My curriculum vitae
The .pdf version is available here .