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105.053
AKVFM stochastic control theory
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2008W, VU, 3.0h, 4.5EC
Properties
Semester hours: 3.0
Credits: 4.5
Type: VU Lecture and Exercise
Aim of course
Basic methods for solving optimisation problems in insurance and finance will be described
Subject of course
elements of stochastic analysis as e.g. Ito Integral and Ito's formula, dynamic programming principle, Hamilton-Jacobi-Bellman equation, singular control theory, examples from actuarial and financial mathematics as e.g. optimal investment problems, minimizing ruin probabilities, etc.
Lecturers
Grandits, Peter
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Mon
09:00 - 11:30
06.10.2008 - 31.01.2009
Sem.R. DA grün 06A
GRANDITS
Show single appointments
AKVFM stochastic control theory - Single appointments
F
P
1
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Day
Date
Time
Location
Description
Mon
06.10.2008
09:00 - 11:30
Sem.R. DA grün 06A
GRANDITS
Mon
13.10.2008
09:00 - 11:30
Sem.R. DA grün 06A
GRANDITS
Mon
20.10.2008
09:00 - 11:30
Sem.R. DA grün 06A
GRANDITS
Mon
27.10.2008
09:00 - 11:30
Sem.R. DA grün 06A
GRANDITS
Mon
03.11.2008
09:00 - 11:30
Sem.R. DA grün 06A
GRANDITS
Mon
10.11.2008
09:00 - 11:30
Sem.R. DA grün 06A
GRANDITS
Mon
17.11.2008
09:00 - 11:30
Sem.R. DA grün 06A
GRANDITS
Mon
24.11.2008
09:00 - 11:30
Sem.R. DA grün 06A
GRANDITS
Mon
01.12.2008
09:00 - 11:30
Sem.R. DA grün 06A
GRANDITS
Mon
08.12.2008
09:00 - 11:30
Sem.R. DA grün 06A
GRANDITS
Mon
15.12.2008
09:00 - 11:30
Sem.R. DA grün 06A
GRANDITS
Mon
22.12.2008
09:00 - 11:30
Sem.R. DA grün 06A
GRANDITS
Mon
29.12.2008
09:00 - 11:30
Sem.R. DA grün 06A
GRANDITS
Mon
05.01.2009
09:00 - 11:30
Sem.R. DA grün 06A
GRANDITS
Mon
12.01.2009
09:00 - 11:30
Sem.R. DA grün 06A
GRANDITS
Mon
19.01.2009
09:00 - 11:30
Sem.R. DA grün 06A
GRANDITS
Mon
26.01.2009
09:00 - 11:30
Sem.R. DA grün 06A
GRANDITS
F
P
1
N
E
Course registration
Not necessary
Curricula
Study Code
Obligation
Semester
Precon.
Info
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Literature
No lecture notes are available.
Language
German