(Publications since November 1998, which are the result of the working group on Applications of Filtering and Control in Mathematical Finance, are presented for the readers' convenience in a separate list at the end. (preprints of these publications are available from my homepage))

[1] -: A martingale approach to optimal control of jump processes, OR Verf. XXVII (1978), 168-182

[2] -: Optimality conditions in optimal control of jump processes, Proc. OR 7 (1978), 48-56

[3] -: A game with Wiener noise and jump process disturbances, SFB 72 - report 250 (1979)

[4] -: An existence theorem for a double martingale control problem, Proc. Int. Symp. Stoch. Diff. Equations, Vilnius 1978, Springer LN Control Inf. Sc., Springer Verlag (1980)

[5] -: Existence of optimal controls for a partially observed semimartingale control problem, Stoch.Proc.Appl. 13 (1981), 215-226

[6] -: A property of the laws of submartingales and its application to stochastic optimal control, Liet.mathem.rink. XXII,1 (1982), 79-85

[7] -: A survey on existence results in optimal stochastic control of semimartingales, Proc.Tagung Optimierung und optimale Steuerung, Oberwolfach (1980), 187-210 (auch in "Statistik der Zufallsprozesse III")

[8] -: Concepts for the derivation of optimal partially observed controls, in: From local times to global geometry, control and physics, Proc. Warwick Symp. 1984/5, ed. K.D. Elworthy, Pitman RN Math. Longman (1986)

[9] -: Viscosity solutions in partially observed control, in: Stochastic Differential Systems, Proc. 3rd Bad Honnef Conf. 1985 ed.'s N. Christopeit, K. Helmes, M. Kohlmann, Springer LN Control Inf.Sc., Springer Verlag (1986)

[10] -: Maximum principles and generalized solutions to the dynamic programming equation in partially observed control, UK report 1985

[11] -: Malliavin calculus and applications, I UK report 1985

[12] -: Backward and forward Ito formulas for backward and forward stochastic integrals, UK report 1988

[13] -: A conditional probability integration by parts formula, UK report 1989

[14] -: Malliavin's calculus on Wiener-Poisson space, UK report 1989

[15] -: Optimality conditions for a diffusion control problem with nonsmooth drift, UK report 1994

[16] -: The martingale representation for jump processes, UK report (1994)

[17] -: mit

 J.S. Baras, R.J. Elliott

[18] -: mit J.S. Baras, R.J. Elliott: The partially observed stochastic minimum principle, SIAM J. Contr. Opt. 27 (1989), 1279 - 1292

[19] -: mit J.S. Baras, R.J. Elliott: The conditional adjoint process, SIAM J.Contr. Opt.28 (1990), 1279-1292

[20] -: mit

B. Beekes

[21] -: mit

R. Boel

[22] -: mit R. Boel: Stochastic optimal control over double martingales, Analysis and Optimization of Stochastic Systems (1980), 73-83

[23] -: mit R. Boel: A control problem in a manifold with nonsmooth boundary, Stochastic Differential Systems, Springer LN Control Inf.Sc.43(1982), 229-250

[24] -: mit

F.Boetius

[25] -: mit

N. Christopeit

[26] -: mit

 M.H.A. Davis

[28] -: mit

R.J. Elliott

[29] -: mit R.J. Elliott: Robust filtering for multidimensional correlated observations, Math.Z. 178 (1981), 559-578

[30] -: mit R.J. Elliott: On the existence of optimal partially observed controls, Appl.Math.Opt. 9 (1981), 41-66

[31] -: mit R.J. Elliott: A short proof of the martingale representation theorem, Stat. Prob. Letters 6 (1988), 327 - 329

[32] -: mit R.J. Elliott: Integration by parts, homogeneous chaos expansion and smooth densities, Ann. Prob. 17 (1989), 194-207

[33] -: mit R.J. Elliott: Martingale representation and the Malliavin calculus, Appl. Math. Opt 20 (1989), 105-112

[34] -: mit R.J. Elliott: The existence of smooth densities for the prediction, filtering, and smoothing problems, Acta Appl. Math. 14 (1989), 269-286

[35] -: mit R.J. Elliott: The variational principle for optimal control of diffusions with partial information,Syst. Contr. Letters 12 (1989), 63-69

[36] -: mit R.J. Elliott: Jump processes Stochastics 27 (1989), 83-97

[37] -: mit R.J. Elliott: Densities for jump processes, Proc. Ann. Conf.Bernoulli Soc. 1988, Rome (invited lecture)

[38] -: mit R.J. Elliott: The adjoint process in stochastic optimal control, Stochastic Differential Systems, LN Control Inf. Sc. 126, Springer Verlag, 1989

[39] -: mit R.J. Elliott: Integration by parts and the Malliavin Calculus, Stochastic Differential Systems, LN Control Inf. Sc. 126, Springer Verlag, 1989

[40] -: mit R.J. Elliott: The adjoint process in stochastic optimal control, report U of A, Edmonton (1988)

[41] -: mit R.J. Elliott: The second order minimum principle and adjoint process, Stochastics and Stochastics Reports,1994, Vol46, 25-39

[42] -: mit R.J. Elliott, J.W. Macki: A proof of the minimum principle using flows, Proc. Conf. in honour of the memory of Z. Opial, 1988

[43] -: mit

A. Makowski, R. Rishel

[44] -: mit

M.Pavon

[45] -: mit M. Pavon: Least squares state estimates with missing data, IEEE TAC (1985)
 

[46] -: mit

 P.Renner:

[47] -: mit

 R. Rishel:

[48] -: mit R. Rishel: Strong conditioning, SFB 72 - report 249 (1980)

49] -:mit

S.Tang:

Mean-Variance Hedging under Uncertain Stock Appreciation Rates, COMCON 2001

[50] -: mit S.Tang, Global Adapted Solutions of one-dimensional backward stochastic Riccati equations, with applications to the mean-variance hedging, Stoch. Proc. Appl. 97 (2002), 255-288

[51] -: mit

X.Y. Zhou:

Backward Stochastic Differential Equations and Stochastic Controls: A New Perspective}, SICON 38 (2000), 1392-1407
 

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[52] -: mit W. Vogel: Herausgeber von 'Stochastic control theory and stochastic differential systems', Proc. Workshop of the SFB 72 der DFG an der Universität Bonn, Januar 1979, Bad Honnef, Springer LN Control Inf.Sc.16 (1979)

[53] -: mit N. Christopeit: Herausgeber von 'Stochastic Differential Systems', Proc. 2nd Bad Honnef Conference June 28 - July 2 1982, Springer LN Control Inf.Sc.43 (1982)

[54] -: mit N. Christopeit, K. Helmes: Herausgeber von 'Stochastic Differential Systems', Proc. 3rd Bad Honnef Conference June 3-7 1985, Springer LN Control Inf.Sc.78 (1986)

[55] -: mit N. Christopeit, K. Helmes: Herausgeber von 'Stochastic Differential Systems', Proc. 4th Bad Honnef Conf. 1988, LN Contr. Inf. Sc. 126 Springer (1989)

[56] -:mit S. Tang: Mathematical Finance, Proceedings of a workshop on mathematical finance, KN Oct 5-7, 2000 Birkhäuser Verlag (2001)

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[57] -:Statistik der Zufallsprozesse I, Allgemeine Theorie, Seminar Universität Bonn 1978

[58] -:Statistik der Zufallsprozesse II, Theorie der stochastischen Systeme, Seminar Universität Bonn 1979

[59] -:Statistik der Zufallsprozesse III, Filtertheorie Vorlesung - Seminar Universität Bonn 1979/80

[60] -:Ein kontrolltheoretischer Zugang zur Versicherungsmathematik Vorlesung Universität Mannheim 1982 (v)

[61] -:Bellman's equation in stochastic control, stopping and filtering, Research notes U of A, Edmonton,

[62] -:The different approaches to the Malliavin calculus and applications in p.d.e. theory, filtering and control, Research Notes UK 1991/93

[63] -: Stochastic analysis I: Martingale methods in real analysis, Research Notes UK 1993, (v)

[64] -: Stochastic analysis II: Stochastic differential geometry, from *-martingales to the Schwartz principle (v)

[65] -: Stochastic Analysis III: Applications of stochastic flows(v)

[66] -: Stochastik I , Vorlesungsskript 1996, 200pp

[67] -: Stochastik II , Vorlesungsskript 1997, 150pp

[68] -: Stochastik III, Deterministisches und stochastisches Chaos, Vorlesungsskript 1997

(v) no longer available, out of print

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which are the result of the working group on Applications of Filtering and Control in Mathematical Finance, are presented for the readers' convenience in a separate list at the end. (preprints of these publications are available from my homepage)
 
 

1998

1. Boetius, F. and Kohlmann, M., Connections between optimal stopping and singular stochastic control, Stoch. Proc. Appl., 77 (1998), 253 -- 281


1999

2. Kohlmann, M. und Zhou, X.Y., Backward Stochastic Differential Equations and Stochastic Controls: A New Perspective, preprint # 09/99
3. Kohlmann, M., (Reflected) Backward Stochastic Differential Equations and Contingent claims, preprint # 10/99
4. Kohlmann, M. und Zhou, X.Y., The Informed and Uninformed Agent‘s Price of a Contingent claim, preprint # 11/99
5. Kohlmann, M., Backward Stochastic Differential Equations and Contingent claims}, Conf. Proc Hanzhou Conference on Distr., Param. Systems and Stochastic Control, June 1998, Kluwer 1999, 222-232
6. Kohlmann, M., The relation between optimal stopping and singular control, Proc. ICOTA, Perth, (1999), 1042-1071

1. Kohlmann, M. und Peisl, B., A Note on Mean-variance hedging of Non-Attainable claims, preprint # 00/06
2. Leitner, J., Convergence of Arbitrage-Free Discrete Time Markovian Market Models}, preprint # 00/07
3. Bender, C., Kohlmann, M., BSDEs with Stochastic Lipschitz Condition, preprint # 00/08
4. Lüders, E. und Peisl, B., On the Relationship of Information Processes and Asset Price Processes, preprint # 00/09
5. Kohlmann, M., Neyman-Pearson hedging and Dynamic Measures of Risk, preprint # 00/11
6. Boetius, F., Bounded variation singular stochastic control and associated Dynkin game, preprint # 00/12
7. Kohlmann, M. and Tang,S., Optimal control of linear stochastic systems with singular costs, and the mean-variance hedging problem with stochastic market conditions, preprint # 00/13
8. Kohlmann, M. and Tang, S., Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging, preprint # 00/26
9. Kohlmann, M. and Tang, S., Multi-dimensional backward stochastic Riccati equations and applications, preprint# 00/29
10. Kohlmann, M. and Tang, S., Recent Advances in Backward Stochastic Riccati Equations and Their Application, preprint # 00/30
11. Leitner, J., Utility Maximization and Duality, preprint # 00/34
12. Leitner, J., Mean-variance Efficiency and Intertemporal Price for Risk, preprint # 00/35
13. Kohlmann, M. und Zhou, X.Y., Backward Stochastic Differential Equations and Stochastic Controls: A New Perspective}, SICON 38 (2000), 1392-1407


2001

14. Kohlmann, M. and Tang, S., Mathematical Finance, Proceedings of a workshop on mathematical finance, KN Oct 5-7, 2000 Birkhäuser Verlag (2001)
15. Leitner, J., Utility Maximization, Duality, Price for Risk, Semimartingale Representation and CAPM, Ph.D. thesis University of Konstanz, 2001
16. Bender, C., Rückwärtsstochastische Differentialgleichungen, mit Anwendungen im Finanzbereich, Diplomarbeit, Universität Konstanz, 2001
17. Kohlmann,M. and Tang,S., Mean-Variance Hedging under Uncertain Stock Appreciation Rates, COMCON 2001
18. Boetius, F., Singular Stochastic Control and its Relations to Dynkin Game and entry-exit problems,Ph.D. thesis University of Konstanz, 2001


2002

19. Kohlmann,M. and Tang, S., Global Adapted Solutions of one-dimensional backward stochastic Riccati equations, with applications to the mean-variance hedging, Stoch. Proc. Appl. 97 (2002), 255-288
20. Bender, C., An Itô Formula for Generalized Functionals of a FBM with Arbitrary Hurst parameter Universität Konstanz, 2001, preprint 02/01

recent publications are found here






 

LECTURE NOTES




21. Kohlmann, M., Stochastik I,II , Wahrscheinlichkeitsrechnung und Stochastische Prozesse, Vorlesungsskript, verbesserte Neuauflage; Konstanz, 2002, 421 pp
22. Kohlmann, M., Stochastik III, Mathematics Meets Finance, Vorlesungsskript, Konstanz, April 2002, 411 pp
23. Kohlmann, M., Stochastics, An interactive CD, Konstanz, April 2002 (diese CD enthält die beiden vorangenannten Skripten mit interaktiven Elementen wie Simulationen und weiteren Erläuterungen)

...please contact me 

preprints

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