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 | 203 | 2000 |
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 | 106 | 2002 |
Multidimensional backward stochastic Riccati equations and applications M Kohlmann, S Tang SIAM Journal on Control and Optimization 41 (6), 1696-1721, 2003 | 89 | 2003 |
The partially observed stochastic minimum principle JS Baras, RJ Elliott, M Kohlmann SIAM Journal on Control and Optimization 27 (6), 1279-1292, 1989 | 78 | 1989 |
Connections between optimal stopping and singular stochastic control F Boetius, M Kohlmann Stochastic processes and their applications 77 (2), 253-281, 1998 | 69 | 1998 |
Minimization of risk and linear quadratic optimal control theory M Kohlmann, S Tang SIAM journal on control and optimization 42 (3), 1118-1142, 2003 | 62 | 2003 |
BSDEs with stochastic Lipschitz condition C Bender, M Kohlmann CoFE Discussion Paper, 2000 | 57 | 2000 |
Integration by parts, homogeneous chaos expansions and smooth densities RJ Elliott, M Kohlmann The Annals of Probability, 194-207, 1989 | 46 | 1989 |
The second order minimum principle and adjoint process RJ Elliott, M Kohlmann Stochastics: An International Journal of Probability and Stochastic …, 1994 | 34 | 1994 |
A short proof of a martingale representation result RJ Elliott, M Kohlmann Statistics & Probability Letters 6 (5), 327-329, 1988 | 32 | 1988 |
New developments in backward stochastic Riccati equations and their applications M Kohlmann, S Tang Mathematical Finance: Workshop of the Mathematical Finance Research Project …, 2001 | 27 | 2001 |
The mean-variance hedging of a defaultable option with partial information M Kohlmann, D Xiong Stochastic analysis and applications 25 (4), 869-893, 2007 | 24 | 2007 |
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 | 23 | 1980 |
Mean variance hedging in a general jump model M Kohlmann, D Xiong, Z Ye Applied Mathematical Finance 17 (1), 29-57, 2010 | 22 | 2010 |
Change of filtrations and mean–variance hedging M Kohlmann, D Xiong, Z Ye Stochastics: An International Journal of Probability and Stochastics …, 2007 | 20 | 2007 |
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 | 19 | 2008 |
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 | 19 | 2000 |
The variational principle for optimal control of diffusions with partial information RJ Elliott, M Kohlmann Systems & control letters 12 (1), 63-69, 1989 | 19 | 1989 |
Robust filtering for correlated multidimensional observations RJ Elliott, M Kohlmann Mathematische Zeitschrift 178 (4), 559-578, 1981 | 18 | 1981 |
Optimality conditions in optimal control of jump processes M Kohlmann Vorträge der Jahrestagung 1977/Papers of the Annual Meeting 1977 DGOR, 48-57, 1978 | 18 | 1978 |