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Kohlmann, Michael

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Author ID: kohlmann.michael Recent zbMATH articles by "Kohlmann, Michael"
Published as: Kohlmann, Michael; Kohlmann, M.
External Links: MGP
Documents Indexed: 62 Publications since 1978, including 5 Books
Reviewing Activity: 154 Reviews

Publications by Year

Citations contained in zbMATH Open

43 Publications have been cited 286 times in 206 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
42
2000
Multidimensional backward stochastic Riccati equations and applications. Zbl 1175.93242
Kohlmann, Michael; Tang, Shanjian
29
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
23
2002
Minimization of risk and linear quadratic optimal control theory. Zbl 1047.93048
Kohlmann, Michael; Tang, Shanjian
16
2003
Integration by parts, homogeneous chaos expansions and smooth densities. Zbl 0671.60050
Elliott, Robert J.; Kohlmann, Michael
15
1989
The partially observed stochastic minimum principle. Zbl 0681.93068
Baras, John S.; Elliott, Robert J.; Kohlmann, Michael
15
1989
The variational principle and stochastic optimal control. Zbl 0434.49009
Elliott, Robert J.; Kohlmann, Michael
13
1980
Connections between optimal stopping and singular stochastic control. Zbl 0927.93057
Boetius, Frederik; Kohlmann, Michael
12
1998
A short proof of a martingale representation result. Zbl 0645.60053
Elliott, Robert J.; Kohlmann, Michael
11
1988
Robust filtering for correlated multidimensional observations. Zbl 0458.60029
Elliott, Robert J.; Kohlmann, Michael
10
1981
The second order minimum principle and adjoint process. Zbl 0824.60051
Elliott, Robert J.; Kohlmann, Michael
10
1994
The variational principle for optimal control of diffusions with partial information. Zbl 0684.49011
Elliott, Robert J.; Kohlmann, Michael
9
1989
Mean variance hedging in a general jump model. Zbl 1229.91314
Kohlmann, Michael; Xiong, Dewen; Ye, Zhongxing
9
2010
New developments in backward stochastic Riccati equations and their applications. Zbl 0987.60082
Kohlmann, Michael; Tang, Shanjian
9
2001
Integration by parts and densities for jump processes. Zbl 0677.60058
Elliott, Robert J.; Kohlmann, Michael
6
1989
The mean-variance hedging of a defaultable option with partial information. Zbl 1132.91468
Kohlmann, Michael; Xiong, Dewen
6
2007
On convergence to the exponential utility problem. Zbl 1221.91027
Kohlmann, Michael; Niethammer, Christina R.
5
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
5
2008
Change of filtrations and mean-variance hedging. Zbl 1130.91339
Kohlmann, Michael; Xiong, Dewen; Ye, Zhongxing
4
2007
Optimal superhedging under non-convex constraints – a BSDE approach. Zbl 1153.91463
Bender, Christian; Kohlmann, Michael
3
2008
Optimality conditions in optimal control of jump processes-extended abstract. Zbl 0448.93062
Kohlmann, M.
3
1978
The existence of smooth densities for the prediction filtering and smoothing problems. Zbl 0681.93065
Elliott, Robert J.; Kohlmann, Michael
3
1989
Stochastic optimal control over double martingales. Zbl 0468.49008
Boel, R.; Kohlmann, M.
2
1980
Existence of optimal controls for a partially observed semimartingale. Zbl 0495.60009
Kohlmann, M.
2
1982
Semimartingale models of stochastic optimal control, with applications to double martingales. Zbl 0452.49032
Boel, Rene; Kohlmann, Michael
2
1980
Representation results for jump processes with application to optimal stopping. Zbl 0442.60041
Kohlmann, Michael; Makowski, Armand; Rishel, Raymond
2
1980
The dynamic convex valuation related to the price process in a market with general jumps. Zbl 1165.60335
Xiong, Dewen; Kohlmann, Michael
2
2009
The mean-variance hedging in a bond market with jumps. Zbl 1202.91104
Xiong, Dewen; Kohlmann, Michael
2
2010
Defaultable Bond markets with jumps. Zbl 1257.91055
Xiong, Dewen; Kohlmann, Michael
2
2012
The compatible bond-stock market with jumps. Zbl 1231.91494
Xiong, Dewen; Kohlmann, Michael
1
2011
Optimal exponential utility in a jump bond market. Zbl 1237.91248
Xiong, Dewen; Kohlmann, Michael
1
2011
Concepts for the derivation of optimal partially observed controls. Zbl 0611.93067
Kohlmann, M.
1
1986
The adjoint process in stochastic optimal control. Zbl 0682.49032
Elliott, Robert J.; Kohlmann, Michael
1
1989
Martingale representation and the Malliavin calculus. Zbl 0685.60043
Elliott, Robert J.; Kohlmann, Michael
1
1989
Survey on existence results in nonlinear optimal stochastic control of semimartingales. Zbl 0488.93061
Kohlmann, M.
1
1981
Robust filtering for systems with correlation between signal and observation. Zbl 0507.60033
Kohlmann, M.
1
1983
On the existence of optimal partially observed controls. Zbl 0525.93067
Elliott, Robert J.; Kohlmann, Michael
1
1982
Optimal control of diffusions: A verification theorem for viscosity solutions. Zbl 0883.93060
Kohlmann, Michael; Renner, Peter
1
1996
Reflected forward backward stochastic differential equations and contingent claims. Zbl 1022.91024
Kohlmann, Michael
1
1999
Stochastic differential systems. Proceedings of the 4th Bad Honnef conference, Bad Honnef, FRG, June 20-24, 1988. Zbl 0679.00015
Christopeit, Norbert (ed.); Helmes, Kurt (ed.); Kohlmann, Michael (ed.)
1
1989
The dynamic \(q\)-valuation of a contingent claim in a continuous market model. Zbl 1154.60337
Xiong, Dewen; Kohlmann, Michael
1
2009
The \(p\)-optimal martingale measure when there exist inaccessible jumps. Zbl 1152.91524
Kohlmann, Michael; Xiong, Dewen
1
2007
Modeling the forward CDS spreads with jumps. Zbl 1242.91198
Xiong, Dewen; Kohlmann, Michael
1
2012
Defaultable Bond markets with jumps. Zbl 1257.91055
Xiong, Dewen; Kohlmann, Michael
2
2012
Modeling the forward CDS spreads with jumps. Zbl 1242.91198
Xiong, Dewen; Kohlmann, Michael
1
2012
The compatible bond-stock market with jumps. Zbl 1231.91494
Xiong, Dewen; Kohlmann, Michael
1
2011
Optimal exponential utility in a jump bond market. Zbl 1237.91248
Xiong, Dewen; Kohlmann, Michael
1
2011
Mean variance hedging in a general jump model. Zbl 1229.91314
Kohlmann, Michael; Xiong, Dewen; Ye, Zhongxing
9
2010
The mean-variance hedging in a bond market with jumps. Zbl 1202.91104
Xiong, Dewen; Kohlmann, Michael
2
2010
The dynamic convex valuation related to the price process in a market with general jumps. Zbl 1165.60335
Xiong, Dewen; Kohlmann, Michael
2
2009
The dynamic \(q\)-valuation of a contingent claim in a continuous market model. Zbl 1154.60337
Xiong, Dewen; Kohlmann, Michael
1
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
5
2008
Optimal superhedging under non-convex constraints – a BSDE approach. Zbl 1153.91463
Bender, Christian; Kohlmann, Michael
3
2008
The mean-variance hedging of a defaultable option with partial information. Zbl 1132.91468
Kohlmann, Michael; Xiong, Dewen
6
2007
On convergence to the exponential utility problem. Zbl 1221.91027
Kohlmann, Michael; Niethammer, Christina R.
5
2007
Change of filtrations and mean-variance hedging. Zbl 1130.91339
Kohlmann, Michael; Xiong, Dewen; Ye, Zhongxing
4
2007
The \(p\)-optimal martingale measure when there exist inaccessible jumps. Zbl 1152.91524
Kohlmann, Michael; Xiong, Dewen
1
2007
Multidimensional backward stochastic Riccati equations and applications. Zbl 1175.93242
Kohlmann, Michael; Tang, Shanjian
29
2003
Minimization of risk and linear quadratic optimal control theory. Zbl 1047.93048
Kohlmann, Michael; Tang, Shanjian
16
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
23
2002
New developments in backward stochastic Riccati equations and their applications. Zbl 0987.60082
Kohlmann, Michael; Tang, Shanjian
9
2001
Relationship between backward stochastic differential equations and stochastic controls: A linear-quadratic approach. Zbl 0960.60052
Kohlmann, Michael; Zhou, Xun Yu
42
2000
Reflected forward backward stochastic differential equations and contingent claims. Zbl 1022.91024
Kohlmann, Michael
1
1999
Connections between optimal stopping and singular stochastic control. Zbl 0927.93057
Boetius, Frederik; Kohlmann, Michael
12
1998
Optimal control of diffusions: A verification theorem for viscosity solutions. Zbl 0883.93060
Kohlmann, Michael; Renner, Peter
1
1996
The second order minimum principle and adjoint process. Zbl 0824.60051
Elliott, Robert J.; Kohlmann, Michael
10
1994
Integration by parts, homogeneous chaos expansions and smooth densities. Zbl 0671.60050
Elliott, Robert J.; Kohlmann, Michael
15
1989
The partially observed stochastic minimum principle. Zbl 0681.93068
Baras, John S.; Elliott, Robert J.; Kohlmann, Michael
15
1989
The variational principle for optimal control of diffusions with partial information. Zbl 0684.49011
Elliott, Robert J.; Kohlmann, Michael
9
1989
Integration by parts and densities for jump processes. Zbl 0677.60058
Elliott, Robert J.; Kohlmann, Michael
6
1989
The existence of smooth densities for the prediction filtering and smoothing problems. Zbl 0681.93065
Elliott, Robert J.; Kohlmann, Michael
3
1989
The adjoint process in stochastic optimal control. Zbl 0682.49032
Elliott, Robert J.; Kohlmann, Michael
1
1989
Martingale representation and the Malliavin calculus. Zbl 0685.60043
Elliott, Robert J.; Kohlmann, Michael
1
1989
Stochastic differential systems. Proceedings of the 4th Bad Honnef conference, Bad Honnef, FRG, June 20-24, 1988. Zbl 0679.00015
Christopeit, Norbert; Helmes, Kurt; Kohlmann, Michael
1
1989
A short proof of a martingale representation result. Zbl 0645.60053
Elliott, Robert J.; Kohlmann, Michael
11
1988
Concepts for the derivation of optimal partially observed controls. Zbl 0611.93067
Kohlmann, M.
1
1986
Robust filtering for systems with correlation between signal and observation. Zbl 0507.60033
Kohlmann, M.
1
1983
Existence of optimal controls for a partially observed semimartingale. Zbl 0495.60009
Kohlmann, M.
2
1982
On the existence of optimal partially observed controls. Zbl 0525.93067
Elliott, Robert J.; Kohlmann, Michael
1
1982
Robust filtering for correlated multidimensional observations. Zbl 0458.60029
Elliott, Robert J.; Kohlmann, Michael
10
1981
Survey on existence results in nonlinear optimal stochastic control of semimartingales. Zbl 0488.93061
Kohlmann, M.
1
1981
The variational principle and stochastic optimal control. Zbl 0434.49009
Elliott, Robert J.; Kohlmann, Michael
13
1980
Stochastic optimal control over double martingales. Zbl 0468.49008
Boel, R.; Kohlmann, M.
2
1980
Semimartingale models of stochastic optimal control, with applications to double martingales. Zbl 0452.49032
Boel, Rene; Kohlmann, Michael
2
1980
Representation results for jump processes with application to optimal stopping. Zbl 0442.60041
Kohlmann, Michael; Makowski, Armand; Rishel, Raymond
2
1980
Optimality conditions in optimal control of jump processes-extended abstract. Zbl 0448.93062
Kohlmann, M.
3
1978
all top 5

Cited by 225 Authors

22 Kohlmann, Michael
16 Xiong, Dewen
13 Elliott, Robert James
11 Wu, Zhen
9 Siu, Tak Kuen
4 De Angelis, Tiziano
4 Djehiche, Boualem
4 Du, Kai
4 Ferrari, Giorgio
4 Huang, Jianhui
4 Mania, Michael
4 Meng, Qingxin
4 Mezerdi, Brahim
4 Tang, Shanjian
4 Ye, Zhongxing
4 Yu, Zhiyong
3 Bank, Peter
3 Florchinger, Patrick
3 Guatteri, Giuseppina
3 Michel, Dominique
3 Niethammer, Christina R.
3 Øksendal, Bernt Karsten
3 Santacroce, Marina
3 Schweizer, Martin
3 Wang, Guangchen
3 Yong, Jiongmin
3 Zhang, Liangquan
2 Andersson, Daniel
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 Hu, Ying
2 Kang, Yuanbao
2 Khelfallah, Nabil
2 Kopp, Peter Ekkehard
2 Levajković, Tijana
2 Li, Na
2 Li, Xun
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, Jingtao
2 Sun, Jingrui
2 Takahashi, Akihiko
2 Tembine, Hamidou
2 Tessitore, Gianmario
2 Tuffaha, Amjad M.
2 Voß, Moritz
2 Whittle, Peter
2 Wu, Jianglun
2 Yavin, Yaakov
2 Yu, Huaiqiang
2 Zhu, Jinghao
2 Zhu, Yuanguo
1 Aghayeva, Charkaz
1 Ait Rami, Mustapha
1 Akdim, Khadija
1 Albeverio, Sergio A.
1 Alvarez, Luis H. R.
1 Archibald, Richard
1 Aurell, Alexander
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 Ceci, Claudia
1 Chala, Adel
1 Chen, Wencai
1 Chikvinidze, Besik
1 Choukroun, Sébastien
...and 125 more Authors
all top 5

Cited in 81 Serials

20 Stochastic Analysis and Applications
15 Systems & Control Letters
13 Stochastic Processes and their Applications
10 SIAM Journal on Control and Optimization
8 Applied Mathematics and Optimization
8 The Annals of Applied Probability
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
3 Stochastics
3 Acta Applicandae Mathematicae
3 Abstract and Applied Analysis
3 Mathematical Control and Related Fields
2 The Annals of Probability
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 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 Applied Mathematics and Computation
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 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 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
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 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 International Journal of Systems Science. Principles and Applications of Systems and Integration

Citations by Year