105.053 AKVFM stochastic control theory
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2009W, 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 registration

Not necessary

Group Registration

Group	Registration From	To
SK	02.10.2009 00:00	22.10.2009 23:59

Curricula

Study Code	Obligation	Semester
066 400 Mathematics	Mandatory elective
066 401 Statistics	Mandatory elective
066 402 Mathematics in Science and Technology	Mandatory elective
066 403 Mathematics in Economics	Mandatory elective
066 404 Mathematics in Computer Science	Mandatory elective
066 405 Financial and Actuarial Mathematics	Mandatory	3. Semester
066 405 Financial and Actuarial Mathematics	Mandatory	3. Semester
066 415 Actuarial Mathematics	Mandatory	3. Semester
860 Technical Mathematics	Mandatory elective
864 Mathematics for Natural Sciences	Mandatory elective
866 Economic Mathematics	Mandatory elective
867 Statistics	Mandatory elective
869 Mathematics in Computer Science	Mandatory elective
873 Finance and Actuarial Mathematics	Mandatory elective

Literature

No lecture notes are available.

Language

German