## Kohlmann, Michael

Compute Distance To:
 Author ID: kohlmann.michael Published as: Kohlmann, Michael; Kohlmann, M. External Links: MGP
 Documents Indexed: 57 Publications since 1978 5 Contributions as Editor Reviewing Activity: 154 Reviews Co-Authors: 18 Co-Authors with 49 Joint Publications 426 Co-Co-Authors
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### Co-Authors

 9 single-authored 17 Xiong, Dewen 14 Elliott, Robert James 5 Tang, Shanjian 4 Christopeit, Norbert 2 Helmes, Kurt L. 2 Rishel, Raymond W. 2 Ye, Zhongxing 1 Baras, John S. 1 Beekes, Bernd 1 Bender, Christian 1 Boetius, Frederik 1 Davis, Mark Herbert Ainsworth 1 Macki, Jack W. 1 Makowski, Armand M. 1 Niethammer, Christina R. 1 Renner, Peter 1 Siyuan, Li 1 Vogel, Walter
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### Serials

 11 Stochastic Analysis and Applications 5 SIAM Journal on Control and Optimization 4 Stochastic Processes and their Applications 4 Lecture Notes in Control and Information Sciences 3 International Journal of Theoretical and Applied Finance 2 Stochastics 2 Applied Mathematics and Optimization 2 Systems & Control Letters 2 Stochastics and Stochastics Reports 1 The Annals of Probability 1 Annales Polonici Mathematici 1 Information Sciences 1 Mathematische Zeitschrift 1 Statistics & Probability Letters 1 Acta Applicandae Mathematicae 1 Litovskiĭ Matematicheskiĭ Sbornik 1 Applied Mathematical Finance 1 International Journal of Pure and Applied Mathematics 1 Stochastics 1 Operations-Research-Verfahren
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### Fields

 52 Probability theory and stochastic processes (60-XX) 31 Systems theory; control (93-XX) 24 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 17 Calculus of variations and optimal control; optimization (49-XX) 5 General and overarching topics; collections (00-XX) 2 Statistics (62-XX) 2 Operations research, mathematical programming (90-XX)

### Citations contained in zbMATH Open

43 Publications have been cited 304 times in 218 Documents Cited by Year
Relationship between backward stochastic differential equations and stochastic controls: A linear-quadratic approach. Zbl 0960.60052
Kohlmann, Michael; Zhou, Xun Yu
2000
Multidimensional backward stochastic Riccati equations and applications. Zbl 1175.93242
Kohlmann, Michael; Tang, Shanjian
2003
Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging. Zbl 1064.93050
Kohlmann, Michael; Tang, Shanjian
2002
Minimization of risk and linear quadratic optimal control theory. Zbl 1047.93048
Kohlmann, Michael; Tang, Shanjian
2003
Integration by parts, homogeneous chaos expansions and smooth densities. Zbl 0671.60050
Elliott, Robert J.; Kohlmann, Michael
1989
The partially observed stochastic minimum principle. Zbl 0681.93068
Baras, John S.; Elliott, Robert J.; Kohlmann, Michael
1989
The variational principle and stochastic optimal control. Zbl 0434.49009
Elliott, Robert J.; Kohlmann, Michael
1980
Connections between optimal stopping and singular stochastic control. Zbl 0927.93057
Boetius, Frederik; Kohlmann, Michael
1998
A short proof of a martingale representation result. Zbl 0645.60053
Elliott, Robert J.; Kohlmann, Michael
1988
New developments in backward stochastic Riccati equations and their applications. Zbl 0987.60082
Kohlmann, Michael; Tang, Shanjian
2001
The second order minimum principle and adjoint process. Zbl 0824.60051
Elliott, Robert J.; Kohlmann, Michael
1994
Robust filtering for correlated multidimensional observations. Zbl 0458.60029
Elliott, Robert J.; Kohlmann, Michael
1981
Mean variance hedging in a general jump model. Zbl 1229.91314
Kohlmann, Michael; Xiong, Dewen; Ye, Zhongxing
2010
The variational principle for optimal control of diffusions with partial information. Zbl 0684.49011
Elliott, Robert J.; Kohlmann, Michael
1989
The mean-variance hedging of a defaultable option with partial information. Zbl 1132.91468
Kohlmann, Michael; Xiong, Dewen
2007
Integration by parts and densities for jump processes. Zbl 0677.60058
Elliott, Robert J.; Kohlmann, Michael
1989
On convergence to the exponential utility problem. Zbl 1221.91027
Kohlmann, Michael; Niethammer, Christina R.
2007
The minimal entropy and the convergence of the $$p$$-optimal martingale measures in a general jump model. Zbl 1153.60001
Kohlmann, Michael; Xiong, Dewen
2008
Change of filtrations and mean-variance hedging. Zbl 1130.91339
Kohlmann, Michael; Xiong, Dewen; Ye, Zhongxing
2007
Optimality conditions in optimal control of jump processes-extended abstract. Zbl 0448.93062
Kohlmann, M.
1978
Semimartingale models of stochastic optimal control, with applications to double martingales. Zbl 0452.49032
Boel, Rene; Kohlmann, Michael
1980
The existence of smooth densities for the prediction filtering and smoothing problems. Zbl 0681.93065
Elliott, Robert J.; Kohlmann, Michael
1989
Optimal superhedging under non-convex constraints – a BSDE approach. Zbl 1153.91463
Bender, Christian; Kohlmann, Michael
2008
The dynamic convex valuation related to the price process in a market with general jumps. Zbl 1165.60335
Xiong, Dewen; Kohlmann, Michael
2009
The mean-variance hedging in a bond market with jumps. Zbl 1202.91104
Xiong, Dewen; Kohlmann, Michael
2010
Existence of optimal controls for a partially observed semimartingale. Zbl 0495.60009
Kohlmann, M.
1982
Representation results for jump processes with application to optimal stopping. Zbl 0442.60041
Kohlmann, Michael; Makowski, Armand; Rishel, Raymond
1980
Defaultable Bond markets with jumps. Zbl 1257.91055
Xiong, Dewen; Kohlmann, Michael
2012
Stochastic optimal control over double martingales. Zbl 0468.49008
Boel, R.; Kohlmann, M.
1980
Optimal exponential utility in a jump bond market. Zbl 1237.91248
Xiong, Dewen; Kohlmann, Michael
2011
Stochastic differential systems. Proceedings of the 4th Bad Honnef conference, Bad Honnef, FRG, June 20-24, 1988. Zbl 0679.00015
1989
The $$p$$-optimal martingale measure when there exist inaccessible jumps. Zbl 1152.91524
Kohlmann, Michael; Xiong, Dewen
2007
Modeling the forward CDS spreads with jumps. Zbl 1242.91198
Xiong, Dewen; Kohlmann, Michael
2012
Reflected forward backward stochastic differential equations and contingent claims. Zbl 1022.91024
Kohlmann, Michael
1999
On the existence of optimal partially observed controls. Zbl 0525.93067
Elliott, Robert J.; Kohlmann, Michael
1982
Survey on existence results in nonlinear optimal stochastic control of semimartingales. Zbl 0488.93061
Kohlmann, M.
1981
Robust filtering for systems with correlation between signal and observation. Zbl 0507.60033
Kohlmann, M.
1983
The adjoint process in stochastic optimal control. Zbl 0682.49032
Elliott, Robert J.; Kohlmann, Michael
1989
Martingale representation and the Malliavin calculus. Zbl 0685.60043
Elliott, Robert J.; Kohlmann, Michael
1989
Optimal control of diffusions: A verification theorem for viscosity solutions. Zbl 0883.93060
Kohlmann, Michael; Renner, Peter
1996
The compatible bond-stock market with jumps. Zbl 1231.91494
Xiong, Dewen; Kohlmann, Michael
2011
Concepts for the derivation of optimal partially observed controls. Zbl 0611.93067
Kohlmann, M.
1986
The dynamic $$q$$-valuation of a contingent claim in a continuous market model. Zbl 1154.60337
Xiong, Dewen; Kohlmann, Michael
2009
Defaultable Bond markets with jumps. Zbl 1257.91055
Xiong, Dewen; Kohlmann, Michael
2012
Modeling the forward CDS spreads with jumps. Zbl 1242.91198
Xiong, Dewen; Kohlmann, Michael
2012
Optimal exponential utility in a jump bond market. Zbl 1237.91248
Xiong, Dewen; Kohlmann, Michael
2011
The compatible bond-stock market with jumps. Zbl 1231.91494
Xiong, Dewen; Kohlmann, Michael
2011
Mean variance hedging in a general jump model. Zbl 1229.91314
Kohlmann, Michael; Xiong, Dewen; Ye, Zhongxing
2010
The mean-variance hedging in a bond market with jumps. Zbl 1202.91104
Xiong, Dewen; Kohlmann, Michael
2010
The dynamic convex valuation related to the price process in a market with general jumps. Zbl 1165.60335
Xiong, Dewen; Kohlmann, Michael
2009
The dynamic $$q$$-valuation of a contingent claim in a continuous market model. Zbl 1154.60337
Xiong, Dewen; Kohlmann, Michael
2009
The minimal entropy and the convergence of the $$p$$-optimal martingale measures in a general jump model. Zbl 1153.60001
Kohlmann, Michael; Xiong, Dewen
2008
Optimal superhedging under non-convex constraints – a BSDE approach. Zbl 1153.91463
Bender, Christian; Kohlmann, Michael
2008
The mean-variance hedging of a defaultable option with partial information. Zbl 1132.91468
Kohlmann, Michael; Xiong, Dewen
2007
On convergence to the exponential utility problem. Zbl 1221.91027
Kohlmann, Michael; Niethammer, Christina R.
2007
Change of filtrations and mean-variance hedging. Zbl 1130.91339
Kohlmann, Michael; Xiong, Dewen; Ye, Zhongxing
2007
The $$p$$-optimal martingale measure when there exist inaccessible jumps. Zbl 1152.91524
Kohlmann, Michael; Xiong, Dewen
2007
Multidimensional backward stochastic Riccati equations and applications. Zbl 1175.93242
Kohlmann, Michael; Tang, Shanjian
2003
Minimization of risk and linear quadratic optimal control theory. Zbl 1047.93048
Kohlmann, Michael; Tang, Shanjian
2003
Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging. Zbl 1064.93050
Kohlmann, Michael; Tang, Shanjian
2002
New developments in backward stochastic Riccati equations and their applications. Zbl 0987.60082
Kohlmann, Michael; Tang, Shanjian
2001
Relationship between backward stochastic differential equations and stochastic controls: A linear-quadratic approach. Zbl 0960.60052
Kohlmann, Michael; Zhou, Xun Yu
2000
Reflected forward backward stochastic differential equations and contingent claims. Zbl 1022.91024
Kohlmann, Michael
1999
Connections between optimal stopping and singular stochastic control. Zbl 0927.93057
Boetius, Frederik; Kohlmann, Michael
1998
Optimal control of diffusions: A verification theorem for viscosity solutions. Zbl 0883.93060
Kohlmann, Michael; Renner, Peter
1996
The second order minimum principle and adjoint process. Zbl 0824.60051
Elliott, Robert J.; Kohlmann, Michael
1994
Integration by parts, homogeneous chaos expansions and smooth densities. Zbl 0671.60050
Elliott, Robert J.; Kohlmann, Michael
1989
The partially observed stochastic minimum principle. Zbl 0681.93068
Baras, John S.; Elliott, Robert J.; Kohlmann, Michael
1989
The variational principle for optimal control of diffusions with partial information. Zbl 0684.49011
Elliott, Robert J.; Kohlmann, Michael
1989
Integration by parts and densities for jump processes. Zbl 0677.60058
Elliott, Robert J.; Kohlmann, Michael
1989
The existence of smooth densities for the prediction filtering and smoothing problems. Zbl 0681.93065
Elliott, Robert J.; Kohlmann, Michael
1989
Stochastic differential systems. Proceedings of the 4th Bad Honnef conference, Bad Honnef, FRG, June 20-24, 1988. Zbl 0679.00015
1989
The adjoint process in stochastic optimal control. Zbl 0682.49032
Elliott, Robert J.; Kohlmann, Michael
1989
Martingale representation and the Malliavin calculus. Zbl 0685.60043
Elliott, Robert J.; Kohlmann, Michael
1989
A short proof of a martingale representation result. Zbl 0645.60053
Elliott, Robert J.; Kohlmann, Michael
1988
Concepts for the derivation of optimal partially observed controls. Zbl 0611.93067
Kohlmann, M.
1986
Robust filtering for systems with correlation between signal and observation. Zbl 0507.60033
Kohlmann, M.
1983
Existence of optimal controls for a partially observed semimartingale. Zbl 0495.60009
Kohlmann, M.
1982
On the existence of optimal partially observed controls. Zbl 0525.93067
Elliott, Robert J.; Kohlmann, Michael
1982
Robust filtering for correlated multidimensional observations. Zbl 0458.60029
Elliott, Robert J.; Kohlmann, Michael
1981
Survey on existence results in nonlinear optimal stochastic control of semimartingales. Zbl 0488.93061
Kohlmann, M.
1981
The variational principle and stochastic optimal control. Zbl 0434.49009
Elliott, Robert J.; Kohlmann, Michael
1980
Semimartingale models of stochastic optimal control, with applications to double martingales. Zbl 0452.49032
Boel, Rene; Kohlmann, Michael
1980
Representation results for jump processes with application to optimal stopping. Zbl 0442.60041
Kohlmann, Michael; Makowski, Armand; Rishel, Raymond
1980
Stochastic optimal control over double martingales. Zbl 0468.49008
Boel, R.; Kohlmann, M.
1980
Optimality conditions in optimal control of jump processes-extended abstract. Zbl 0448.93062
Kohlmann, M.
1978
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### Cited by 240 Authors

 22 Kohlmann, Michael 16 Xiong, Dewen 14 Elliott, Robert James 12 Wu, Zhen 9 Siu, Tak Kuen 5 Huang, Jianhui 4 De Angelis, Tiziano 4 Djehiche, Boualem 4 Du, Kai 4 Ferrari, Giorgio 4 Hu, Ying 4 Mania, Michael 4 Meng, Qingxin 4 Mezerdi, Brahim 4 Tang, Shanjian 4 Wang, Guangchen 4 Ye, Zhongxing 4 Yong, Jiongmin 4 Yu, Zhiyong 3 Bank, Peter 3 Florchinger, Patrick 3 Guatteri, Giuseppina 3 Li, Xun 3 Michel, Dominique 3 Niethammer, Christina R. 3 Øksendal, Bernt Karsten 3 Santacroce, Marina 3 Schweizer, Martin 3 Shi, Jingtao 3 Sun, Jingrui 3 Xiong, Jie 3 Zhang, Liangquan 3 Zhu, Yuanguo 2 Andersson, Daniel 2 Aurell, Alexander 2 Bahlali, Seid 2 Banek, Tadeusz 2 Bennett, Jonathan 2 Bishop, Adrian N. 2 Bismut, Jean-Michel 2 Boltyanskij, Vladimir Grigor’evich 2 Chaleyat-Maurel, Mireille 2 Chan, Leunglung 2 Chighoub, Farid 2 Cont, Rama 2 Del Moral, Pierre 2 Delbaen, Freddy 2 Di Nunno, Giulia 2 Dolinsky, Yan 2 Dong, Yuchao 2 Duncan, Tyrone E. 2 Fujii, Masaaki 2 Goutte, Stéphane 2 Herdegen, Martin 2 Kang, Yuanbao 2 Khelfallah, Nabil 2 Kopp, Peter Ekkehard 2 Levajković, Tijana 2 Li, Bo 2 Li, Na 2 Mena, Hermann 2 Muhle-Karbe, Johannes 2 Nappo, Giovanna 2 Ngoupeyou, Armand 2 Palamarchuk, E. S. 2 Pasik-Duncan, Bozenna 2 Possamaï, Dylan 2 Poznyak, Aleksandr Semënovich 2 Shen, Yang 2 Shi, Xiaomin 2 Takahashi, Akihiko 2 Tembine, Hamidou 2 Tessitore, Gianmario 2 Tuffaha, Amjad M. 2 Voß, Moritz 2 Whittle, Peter 2 Wu, Jianglun 2 Xu, Zuoquan 2 Yavin, Yaakov 2 Yu, Huaiqiang 2 Zhu, Jinghao 1 Aghayeva, Charkaz 1 Ait Rami, Mustapha 1 Akdim, Khadija 1 Albeverio, Sergio A. 1 Alvarez, Luis H. R. 1 Archibald, Richard 1 Badescu, Alexandru M. 1 Baghery, Fouzia 1 Bahlali, Khaled 1 Bao, Feng 1 Bashirov, Agamirza E. 1 Bender, Christian 1 Boetius, Frederik 1 Bogachev, Vladimir Igorevich 1 Borkar, Vivek Shripad 1 Bouchard, Bruno 1 Brenner, Robin J. 1 Calzolari, Antonella 1 Carmona, René A. ...and 140 more Authors
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### Cited in 84 Serials

 20 Stochastic Analysis and Applications 15 Systems & Control Letters 14 Stochastic Processes and their Applications 10 SIAM Journal on Control and Optimization 10 The Annals of Applied Probability 9 Applied Mathematics and Optimization 7 Finance and Stochastics 6 International Journal of Control 6 Automatica 6 Journal of Optimization Theory and Applications 5 International Journal of Theoretical and Applied Finance 5 Stochastics 4 Journal of Mathematical Analysis and Applications 4 Quantitative Finance 4 Mathematical Control and Related Fields 3 Stochastics 3 Acta Applicandae Mathematicae 3 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 3 Abstract and Applied Analysis 2 The Annals of Probability 2 Applied Mathematics and Computation 2 Journal of Differential Equations 2 Journal of Functional Analysis 2 Chinese Annals of Mathematics. Series B 2 Probability Theory and Related Fields 2 Journal of Theoretical Probability 2 Automation and Remote Control 2 European Journal of Operational Research 2 Stochastics and Stochastics Reports 2 Mathematical Finance 2 Frontiers of Mathematics in China 2 Mathematics and Financial Economics 2 International Journal of Systems Science. Principles and Applications of Systems and Integration 2 Probability, Uncertainty and Quantitative Risk 1 Advances in Applied Probability 1 Computers & Mathematics with Applications 1 International Journal of Systems Science 1 Lithuanian Mathematical Journal 1 Information Sciences 1 Journal of Econometrics 1 Journal of Mathematical Economics 1 Mathematics of Operations Research 1 Insurance Mathematics & Economics 1 Statistics & Probability Letters 1 Acta Mathematicae Applicatae Sinica. English Series 1 Optimization 1 Journal of Economic Dynamics & Control 1 Mathematical and Computer Modelling 1 Journal of Scientific Computing 1 Science in China. Series A 1 Journal de Mathématiques Pures et Appliquées. Neuvième Série 1 Bulletin of the American Mathematical Society. New Series 1 Comptes Rendus de l’Académie des Sciences. Série I 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Journal of Mathematical Sciences (New York) 1 Random Operators and Stochastic Equations 1 Monte Carlo Methods and Applications 1 Applied Mathematical Finance 1 Discrete and Continuous Dynamical Systems 1 Arab Journal of Mathematical Sciences 1 Mathematical Problems in Engineering 1 European Journal of Control 1 Optimization Methods & Software 1 Mathematical Methods of Operations Research 1 Journal of Inequalities and Applications 1 Acta Mathematica Sinica. English Series 1 International Journal of Applied Mathematics and Computer Science 1 Scandinavian Actuarial Journal 1 Differential Equations 1 Journal of Systems Science and Complexity 1 Journal of Applied Mathematics and Computing 1 Asia-Pacific Financial Markets 1 SIAM Journal on Financial Mathematics 1 Science China. Information Sciences 1 International Journal of Stochastic Analysis 1 Games 1 Asian Journal of Control 1 Dynamic Games and Applications 1 Afrika Matematika 1 Annals of Finance 1 Evolution Equations and Control Theory 1 East Asian Journal on Applied Mathematics 1 Computational Methods for Differential Equations 1 Mathematics in Engineering
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### Cited in 22 Fields

 169 Probability theory and stochastic processes (60-XX) 133 Systems theory; control (93-XX) 95 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 84 Calculus of variations and optimal control; optimization (49-XX) 7 Partial differential equations (35-XX) 6 Statistics (62-XX) 6 Numerical analysis (65-XX) 5 Operations research, mathematical programming (90-XX) 3 Linear and multilinear algebra; matrix theory (15-XX) 3 Ordinary differential equations (34-XX) 2 Approximations and expansions (41-XX) 2 Global analysis, analysis on manifolds (58-XX) 1 General and overarching topics; collections (00-XX) 1 Mathematical logic and foundations (03-XX) 1 Real functions (26-XX) 1 Measure and integration (28-XX) 1 Functions of a complex variable (30-XX) 1 Potential theory (31-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Functional analysis (46-XX) 1 Quantum theory (81-XX) 1 Biology and other natural sciences (92-XX)