105.053 AKVFM stochastic control theory

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

Institute

Course dates

DayTimeDateLocationDescription
Mon09:00 - 11:3006.10.2008 - 31.01.2009Sem.R. DA grün 06A GRANDITS
AKVFM stochastic control theory - Single appointments
DayDateTimeLocationDescription
Mon06.10.200809:00 - 11:30Sem.R. DA grün 06A GRANDITS
Mon13.10.200809:00 - 11:30Sem.R. DA grün 06A GRANDITS
Mon20.10.200809:00 - 11:30Sem.R. DA grün 06A GRANDITS
Mon27.10.200809:00 - 11:30Sem.R. DA grün 06A GRANDITS
Mon03.11.200809:00 - 11:30Sem.R. DA grün 06A GRANDITS
Mon10.11.200809:00 - 11:30Sem.R. DA grün 06A GRANDITS
Mon17.11.200809:00 - 11:30Sem.R. DA grün 06A GRANDITS
Mon24.11.200809:00 - 11:30Sem.R. DA grün 06A GRANDITS
Mon01.12.200809:00 - 11:30Sem.R. DA grün 06A GRANDITS
Mon08.12.200809:00 - 11:30Sem.R. DA grün 06A GRANDITS
Mon15.12.200809:00 - 11:30Sem.R. DA grün 06A GRANDITS
Mon22.12.200809:00 - 11:30Sem.R. DA grün 06A GRANDITS
Mon29.12.200809:00 - 11:30Sem.R. DA grün 06A GRANDITS
Mon05.01.200909:00 - 11:30Sem.R. DA grün 06A GRANDITS
Mon12.01.200909:00 - 11:30Sem.R. DA grün 06A GRANDITS
Mon19.01.200909:00 - 11:30Sem.R. DA grün 06A GRANDITS
Mon26.01.200909:00 - 11:30Sem.R. DA grün 06A GRANDITS

Course registration

Not necessary

Curricula

Study CodeObligationSemesterPrecon.Info
No records found.

Literature

No lecture notes are available.

Language

German