Edit Profile (opens in new tab) Kohlmann, Michael Compute Distance To: Compute 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 443 Co-Co-Authors all top 5 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 all top 5 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 all top 5 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) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 43 Publications have been cited 314 times in 226 Documents Cited by ▼ Year ▼ Relationship between backward stochastic differential equations and stochastic controls: A linear-quadratic approach. Zbl 0960.60052Kohlmann, Michael; Zhou, Xun Yu 56 2000 Multidimensional backward stochastic Riccati equations and applications. Zbl 1175.93242Kohlmann, Michael; Tang, Shanjian 32 2003 Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging. Zbl 1064.93050Kohlmann, Michael; Tang, Shanjian 29 2002 Minimization of risk and linear quadratic optimal control theory. Zbl 1047.93048Kohlmann, Michael; Tang, Shanjian 19 2003 The partially observed stochastic minimum principle. Zbl 0681.93068Baras, John S.; Elliott, Robert J.; Kohlmann, Michael 15 1989 Integration by parts, homogeneous chaos expansions and smooth densities. Zbl 0671.60050Elliott, Robert J.; Kohlmann, Michael 15 1989 The variational principle and stochastic optimal control. Zbl 0434.49009Elliott, Robert J.; Kohlmann, Michael 13 1980 Connections between optimal stopping and singular stochastic control. Zbl 0927.93057Boetius, Frederik; Kohlmann, Michael 12 1998 A short proof of a martingale representation result. Zbl 0645.60053Elliott, Robert J.; Kohlmann, Michael 11 1988 Robust filtering for correlated multidimensional observations. Zbl 0458.60029Elliott, Robert J.; Kohlmann, Michael 10 1981 New developments in backward stochastic Riccati equations and their applications. Zbl 0987.60082Kohlmann, Michael; Tang, Shanjian 10 2001 The second order minimum principle and adjoint process. Zbl 0824.60051Elliott, Robert J.; Kohlmann, Michael 10 1994 Mean variance hedging in a general jump model. Zbl 1229.91314Kohlmann, Michael; Xiong, Dewen; Ye, Zhongxing 9 2010 The variational principle for optimal control of diffusions with partial information. Zbl 0684.49011Elliott, Robert J.; Kohlmann, Michael 9 1989 Integration by parts and densities for jump processes. Zbl 0677.60058Elliott, Robert J.; Kohlmann, Michael 6 1989 The mean-variance hedging of a defaultable option with partial information. Zbl 1132.91468Kohlmann, Michael; Xiong, Dewen 6 2007 The minimal entropy and the convergence of the \(p\)-optimal martingale measures in a general jump model. Zbl 1153.60001Kohlmann, Michael; Xiong, Dewen 5 2008 On convergence to the exponential utility problem. Zbl 1221.91027Kohlmann, Michael; Niethammer, Christina R. 5 2007 Change of filtrations and mean-variance hedging. Zbl 1130.91339Kohlmann, Michael; Xiong, Dewen; Ye, Zhongxing 4 2007 Optimality conditions in optimal control of jump processes-extended abstract. Zbl 0448.93062Kohlmann, M. 3 1978 Semimartingale models of stochastic optimal control, with applications to double martingales. Zbl 0452.49032Boel, Rene; Kohlmann, Michael 3 1980 Optimal superhedging under non-convex constraints – a BSDE approach. Zbl 1153.91463Bender, Christian; Kohlmann, Michael 3 2008 The existence of smooth densities for the prediction filtering and smoothing problems. Zbl 0681.93065Elliott, Robert J.; Kohlmann, Michael 3 1989 Representation results for jump processes with application to optimal stopping. Zbl 0442.60041Kohlmann, Michael; Makowski, Armand; Rishel, Raymond 2 1980 Defaultable Bond markets with jumps. Zbl 1257.91055Xiong, Dewen; Kohlmann, Michael 2 2012 Stochastic optimal control over double martingales. Zbl 0468.49008Boel, R.; Kohlmann, M. 2 1980 The dynamic convex valuation related to the price process in a market with general jumps. Zbl 1165.60335Xiong, Dewen; Kohlmann, Michael 2 2009 Existence of optimal controls for a partially observed semimartingale. Zbl 0495.60009Kohlmann, M. 2 1982 The mean-variance hedging in a bond market with jumps. Zbl 1202.91104Xiong, Dewen; Kohlmann, Michael 2 2010 Reflected forward backward stochastic differential equations and contingent claims. Zbl 1022.91024Kohlmann, Michael 1 1999 Optimal control of diffusions: A verification theorem for viscosity solutions. Zbl 0883.93060Kohlmann, Michael; Renner, Peter 1 1996 The dynamic \(q\)-valuation of a contingent claim in a continuous market model. Zbl 1154.60337Xiong, Dewen; Kohlmann, Michael 1 2009 Concepts for the derivation of optimal partially observed controls. Zbl 0611.93067Kohlmann, M. 1 1986 Modeling the forward CDS spreads with jumps. Zbl 1242.91198Xiong, Dewen; Kohlmann, Michael 1 2012 Stochastic differential systems. Proceedings of the 4th Bad Honnef conference, Bad Honnef, FRG, June 20-24, 1988. Zbl 0679.00015 1 1989 The adjoint process in stochastic optimal control. Zbl 0682.49032Elliott, Robert J.; Kohlmann, Michael 1 1989 The compatible bond-stock market with jumps. Zbl 1231.91494Xiong, Dewen; Kohlmann, Michael 1 2011 The \(p\)-optimal martingale measure when there exist inaccessible jumps. Zbl 1152.91524Kohlmann, Michael; Xiong, Dewen 1 2007 Optimal exponential utility in a jump bond market. Zbl 1237.91248Xiong, Dewen; Kohlmann, Michael 1 2011 Survey on existence results in nonlinear optimal stochastic control of semimartingales. Zbl 0488.93061Kohlmann, M. 1 1981 Robust filtering for systems with correlation between signal and observation. Zbl 0507.60033Kohlmann, M. 1 1983 On the existence of optimal partially observed controls. Zbl 0525.93067Elliott, Robert J.; Kohlmann, Michael 1 1982 Martingale representation and the Malliavin calculus. Zbl 0685.60043Elliott, Robert J.; Kohlmann, Michael 1 1989 Defaultable Bond markets with jumps. Zbl 1257.91055Xiong, Dewen; Kohlmann, Michael 2 2012 Modeling the forward CDS spreads with jumps. Zbl 1242.91198Xiong, Dewen; Kohlmann, Michael 1 2012 The compatible bond-stock market with jumps. Zbl 1231.91494Xiong, Dewen; Kohlmann, Michael 1 2011 Optimal exponential utility in a jump bond market. Zbl 1237.91248Xiong, Dewen; Kohlmann, Michael 1 2011 Mean variance hedging in a general jump model. Zbl 1229.91314Kohlmann, Michael; Xiong, Dewen; Ye, Zhongxing 9 2010 The mean-variance hedging in a bond market with jumps. Zbl 1202.91104Xiong, Dewen; Kohlmann, Michael 2 2010 The dynamic convex valuation related to the price process in a market with general jumps. Zbl 1165.60335Xiong, Dewen; Kohlmann, Michael 2 2009 The dynamic \(q\)-valuation of a contingent claim in a continuous market model. Zbl 1154.60337Xiong, Dewen; Kohlmann, Michael 1 2009 The minimal entropy and the convergence of the \(p\)-optimal martingale measures in a general jump model. Zbl 1153.60001Kohlmann, Michael; Xiong, Dewen 5 2008 Optimal superhedging under non-convex constraints – a BSDE approach. Zbl 1153.91463Bender, Christian; Kohlmann, Michael 3 2008 The mean-variance hedging of a defaultable option with partial information. Zbl 1132.91468Kohlmann, Michael; Xiong, Dewen 6 2007 On convergence to the exponential utility problem. Zbl 1221.91027Kohlmann, Michael; Niethammer, Christina R. 5 2007 Change of filtrations and mean-variance hedging. Zbl 1130.91339Kohlmann, Michael; Xiong, Dewen; Ye, Zhongxing 4 2007 The \(p\)-optimal martingale measure when there exist inaccessible jumps. Zbl 1152.91524Kohlmann, Michael; Xiong, Dewen 1 2007 Multidimensional backward stochastic Riccati equations and applications. Zbl 1175.93242Kohlmann, Michael; Tang, Shanjian 32 2003 Minimization of risk and linear quadratic optimal control theory. Zbl 1047.93048Kohlmann, Michael; Tang, Shanjian 19 2003 Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging. Zbl 1064.93050Kohlmann, Michael; Tang, Shanjian 29 2002 New developments in backward stochastic Riccati equations and their applications. Zbl 0987.60082Kohlmann, Michael; Tang, Shanjian 10 2001 Relationship between backward stochastic differential equations and stochastic controls: A linear-quadratic approach. Zbl 0960.60052Kohlmann, Michael; Zhou, Xun Yu 56 2000 Reflected forward backward stochastic differential equations and contingent claims. Zbl 1022.91024Kohlmann, Michael 1 1999 Connections between optimal stopping and singular stochastic control. Zbl 0927.93057Boetius, Frederik; Kohlmann, Michael 12 1998 Optimal control of diffusions: A verification theorem for viscosity solutions. Zbl 0883.93060Kohlmann, Michael; Renner, Peter 1 1996 The second order minimum principle and adjoint process. Zbl 0824.60051Elliott, Robert J.; Kohlmann, Michael 10 1994 The partially observed stochastic minimum principle. Zbl 0681.93068Baras, John S.; Elliott, Robert J.; Kohlmann, Michael 15 1989 Integration by parts, homogeneous chaos expansions and smooth densities. Zbl 0671.60050Elliott, Robert J.; Kohlmann, Michael 15 1989 The variational principle for optimal control of diffusions with partial information. Zbl 0684.49011Elliott, Robert J.; Kohlmann, Michael 9 1989 Integration by parts and densities for jump processes. Zbl 0677.60058Elliott, Robert J.; Kohlmann, Michael 6 1989 The existence of smooth densities for the prediction filtering and smoothing problems. Zbl 0681.93065Elliott, Robert J.; Kohlmann, Michael 3 1989 Stochastic differential systems. Proceedings of the 4th Bad Honnef conference, Bad Honnef, FRG, June 20-24, 1988. Zbl 0679.00015 1 1989 The adjoint process in stochastic optimal control. Zbl 0682.49032Elliott, Robert J.; Kohlmann, Michael 1 1989 Martingale representation and the Malliavin calculus. Zbl 0685.60043Elliott, Robert J.; Kohlmann, Michael 1 1989 A short proof of a martingale representation result. Zbl 0645.60053Elliott, Robert J.; Kohlmann, Michael 11 1988 Concepts for the derivation of optimal partially observed controls. Zbl 0611.93067Kohlmann, M. 1 1986 Robust filtering for systems with correlation between signal and observation. Zbl 0507.60033Kohlmann, M. 1 1983 Existence of optimal controls for a partially observed semimartingale. Zbl 0495.60009Kohlmann, M. 2 1982 On the existence of optimal partially observed controls. Zbl 0525.93067Elliott, Robert J.; Kohlmann, Michael 1 1982 Robust filtering for correlated multidimensional observations. Zbl 0458.60029Elliott, Robert J.; Kohlmann, Michael 10 1981 Survey on existence results in nonlinear optimal stochastic control of semimartingales. Zbl 0488.93061Kohlmann, M. 1 1981 The variational principle and stochastic optimal control. Zbl 0434.49009Elliott, Robert J.; Kohlmann, Michael 13 1980 Semimartingale models of stochastic optimal control, with applications to double martingales. Zbl 0452.49032Boel, Rene; Kohlmann, Michael 3 1980 Representation results for jump processes with application to optimal stopping. Zbl 0442.60041Kohlmann, Michael; Makowski, Armand; Rishel, Raymond 2 1980 Stochastic optimal control over double martingales. Zbl 0468.49008Boel, R.; Kohlmann, M. 2 1980 Optimality conditions in optimal control of jump processes-extended abstract. Zbl 0448.93062Kohlmann, M. 3 1978 all cited Publications top 5 cited Publications all top 5 Cited by 256 Authors 22 Kohlmann, Michael 16 Xiong, Dewen 14 Elliott, Robert James 12 Wu, Zhen 9 Siu, Tak Kuen 7 Huang, Jianhui 5 Hu, Ying 5 Meng, Qingxin 5 Wang, Guangchen 4 De Angelis, Tiziano 4 Djehiche, Boualem 4 Du, Kai 4 Ferrari, Giorgio 4 Mania, Michael 4 Mezerdi, Brahim 4 Tang, Shanjian 4 Ye, Zhongxing 4 Yong, Jiongmin 4 Yu, Zhiyong 3 Bank, Peter 3 Florchinger, Patrick 3 Guatteri, Giuseppina 3 Khelfallah, Nabil 3 Li, Bo 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 Kopp, Peter Ekkehard 2 Levajković, Tijana 2 Li, Na 2 Liu, Bin 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 Qian, Zhongmin M. 2 Shen, Yang 2 Shi, Xiaomin 2 Takahashi, Akihiko 2 Tembine, Hamidou 2 Tessitore, Gianmario 2 Tuffaha, Amjad M. 2 Voß, Moritz 2 Wang, Wencan 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 Ankirchner, Stefan 1 Archibald, Richard 1 Azizi, Hanine 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 ...and 156 more Authors all top 5 Cited in 86 Serials 20 Stochastic Analysis and Applications 15 Systems & Control Letters 14 Stochastic Processes and their Applications 11 SIAM Journal on Control and Optimization 10 Applied Mathematics and Optimization 10 The Annals of Applied Probability 7 Finance and Stochastics 6 International Journal of Control 6 Journal of Mathematical Analysis and Applications 6 Automatica 6 Journal of Optimization Theory and Applications 5 International Journal of Theoretical and Applied Finance 5 Stochastics 4 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 4 Quantitative Finance 4 Mathematical Control and Related Fields 3 Stochastics 3 Acta Applicandae Mathematicae 3 Abstract and Applied Analysis 3 Probability, Uncertainty and Quantitative Risk 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 1 Advances in Applied Probability 1 Computers & Mathematics with Applications 1 International Journal of Systems Science 1 Lithuanian Mathematical Journal 1 Chaos, Solitons and Fractals 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 Journal of Dynamical and Control Systems 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 all top 5 Cited in 22 Fields 174 Probability theory and stochastic processes (60-XX) 141 Systems theory; control (93-XX) 97 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 89 Calculus of variations and optimal control; optimization (49-XX) 8 Partial differential equations (35-XX) 6 Statistics (62-XX) 6 Numerical analysis (65-XX) 6 Operations research, mathematical programming (90-XX) 4 Ordinary differential equations (34-XX) 3 Linear and multilinear algebra; matrix theory (15-XX) 2 Approximations and expansions (41-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Biology and other natural sciences (92-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) Citations by Year