Michael Kohlmann

Available identifiers

zbMath Open kohlmann.michaelWikidataQ102172773 ScholiaQ102172773MaRDI QIDQ587421

List of research outcomes

Publication	Date of Publication	Type
A Generalized Itô-Ventzell Formula to Derive Forward Utility Models in a Jump Market	2013-08-27	Paper
Modeling the Forward CDS Spreads with Jumps	2012-06-20	Paper
Defaultable Bond Markets with Jumps	2012-04-18	Paper
THE COMPATIBLE BOND-STOCK MARKET WITH JUMPS	2011-10-24	Paper
https://portal.mardi4nfdi.de/entity/Q3094158	2011-10-21	Paper
Optimal Exponential Utility in a Jump Bond Market	2011-03-08	Paper
The Mean-Variance Hedging in a Bond Market with Jumps	2010-10-07	Paper
MEAN VARIANCE HEDGING IN A GENERAL JUMP MARKET	2010-09-16	Paper
Mean Variance Hedging in a General Jump Model	2010-05-27	Paper
TheS-Related Dynamic Convex Valuation in the Brownian Motion Setting	2010-03-19	Paper
AnS-Related DCV Generated by a Convex Function in a Jump Market	2010-03-19	Paper
The Dynamic Convex Valuation Related to the Price Process in a Market with General Jumps	2009-06-17	Paper
The Dynamicq-Valuation of a Contingent Claim in a Continuous Market Model	2009-03-03	Paper
The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model	2008-11-14	Paper
OPTIMAL SUPERHEDGING UNDER NON-CONVEX CONSTRAINTS — A BSDE APPROACH	2008-08-26	Paper
https://portal.mardi4nfdi.de/entity/Q5441996	2008-02-15	Paper
Change of filtrations and mean–variance hedging	2008-01-09	Paper
On convergence to the exponential utility problem	2007-12-17	Paper
The Mean-Variance Hedging of a Defaultable Option with Partial Information	2007-09-21	Paper
Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.	2005-02-25	Paper
Multidimensional Backward Stochastic Riccati Equations and Applications	2004-01-08	Paper
Minimization of Risk and Linear Quadratic Optimal Control Theory	2004-01-08	Paper
https://portal.mardi4nfdi.de/entity/Q2712227	2003-10-21	Paper
https://portal.mardi4nfdi.de/entity/Q2741109	2002-06-23	Paper
Connections between optimal stopping and singular stochastic control	1999-11-18	Paper
Optimal control of diffusions: A verification theorem for viscosity solutions	1997-02-27	Paper
The second order minimum principle and adjoint process	1995-10-31	Paper
A proof of the minimum principle using flows	1990-01-01	Paper
Integration by parts, homogeneous chaos expansions and smooth densities	1989-01-01	Paper
The existence of smooth densities for the prediction filtering and smoothing problems	1989-01-01	Paper
The variational principle for optimal control of diffusions with partial information	1989-01-01	Paper
Martingale representation and the Malliavin calculus	1989-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3034617	1989-01-01	Paper
Integration by parts and densities for jump processes	1989-01-01	Paper
The Partially Observed Stochastic Minimum Principle	1989-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q4731735	1989-01-01	Paper
A short proof of a martingale representation result	1988-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3752279	1986-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q4727128	1986-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q4745061	1983-01-01	Paper
On the existence of optimal partially observed controls	1982-01-01	Paper
Existence of optimal controls for a partially observed semimartingale	1982-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3312133	1982-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3963798	1982-01-01	Paper
Robust filtering for correlated multidimensional observations	1981-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3950431	1981-01-01	Paper
Stochastic control by measure transformation: A general existence result	1980-01-01	Paper
The variational principle and stochastic optimal control	1980-01-01	Paper
Representation results for jump processes with application to optimal stopping	1980-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3963794	1979-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q4198592	1979-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3895379	1978-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q4171953	1978-01-01	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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