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michael kohlmann
michael kohlmann
Professor Mathematics
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Title
Cited by
Cited by
Year
Relationship between backward stochastic differential equations and stochastic controls: a linear-quadratic approach
M Kohlmann, XY Zhou
SIAM Journal on Control and Optimization 38 (5), 1392-1407, 2000
2022000
Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean–variance hedging
M Kohlmann, S Tang
Stochastic Processes and their Applications 97 (2), 255-288, 2002
1052002
Multidimensional backward stochastic Riccati equations and applications
M Kohlmann, S Tang
SIAM Journal on Control and Optimization 41 (6), 1696-1721, 2003
882003
The partially observed stochastic minimum principle
JS Baras, RJ Elliott, M Kohlmann
SIAM Journal on Control and Optimization 27 (6), 1279-1292, 1989
781989
Connections between optimal stopping and singular stochastic control
F Boetius, M Kohlmann
Stochastic processes and their applications 77 (2), 253-281, 1998
691998
Minimization of risk and linear quadratic optimal control theory
M Kohlmann, S Tang
SIAM journal on control and optimization 42 (3), 1118-1142, 2003
612003
BSDEs with stochastic Lipschitz condition
C Bender, M Kohlmann
CoFE Discussion Paper, 2000
572000
Integration by parts, homogeneous chaos expansions and smooth densities
RJ Elliott, M Kohlmann
The Annals of Probability, 194-207, 1989
461989
The second order minimum principle and adjoint process
RJ Elliott, M Kohlmann
Stochastics: An International Journal of Probability and Stochastic …, 1994
341994
A short proof of a martingale representation result
RJ Elliott, M Kohlmann
Statistics & Probability Letters 6 (5), 327-329, 1988
321988
New developments in backward stochastic Riccati equations and their applications
M Kohlmann, S Tang
Mathematical Finance: Workshop of the Mathematical Finance Research Project …, 2001
262001
The mean-variance hedging of a defaultable option with partial information
M Kohlmann, D Xiong
Stochastic analysis and applications 25 (4), 869-893, 2007
242007
Semimartingale models of stochastic optimal control, with applications to double martingales
R Boel, M Kohlmann
SIAM Journal on Control and Optimization 18 (5), 511-533, 1980
231980
Mean variance hedging in a general jump model
M Kohlmann, D Xiong, Z Ye
Applied Mathematical Finance 17 (1), 29-57, 2010
222010
Change of filtrations and mean–variance hedging
M Kohlmann, D Xiong, Z Ye
Stochastics: An International Journal of Probability and Stochastics …, 2007
202007
Optimal superhedging under non-convex constraints—a BSDE approach
C Bender, M Kohlmann
International Journal of Theoretical and Applied Finance 11 (04), 363-380, 2008
192008
Optimal control of linear stochastic systems with singular costs, and the mean-variance hedging problem with stochastic market conditions
M Kohlmann, T Shanjian
CoFE Discussion Paper, 2000
192000
The variational principle for optimal control of diffusions with partial information
RJ Elliott, M Kohlmann
Systems & control letters 12 (1), 63-69, 1989
191989
Robust filtering for correlated multidimensional observations
RJ Elliott, M Kohlmann
Mathematische Zeitschrift 178 (4), 559-578, 1981
181981
Optimality conditions in optimal control of jump processes
M Kohlmann
Vorträge der Jahrestagung 1977/Papers of the Annual Meeting 1977 DGOR, 48-57, 1978
171978
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