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.

2010W, 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
Mon08:30 - 11:0004.10.2010 - 27.01.2011Sem.R. DA grün 06A GRANDITS
AKVFM stochastic control theory - Single appointments
DayDateTimeLocationDescription
Mon11.10.201008:30 - 11:00Sem.R. DA grün 06A GRANDITS
Mon18.10.201008:30 - 11:00Sem.R. DA grün 06A GRANDITS
Mon25.10.201008:30 - 11:00Sem.R. DA grün 06A GRANDITS
Mon08.11.201008:30 - 11:00Sem.R. DA grün 06A GRANDITS
Mon22.11.201008:30 - 11:00Sem.R. DA grün 06A GRANDITS
Mon29.11.201008:30 - 11:00Sem.R. DA grün 06A GRANDITS
Mon06.12.201008:30 - 11:00Sem.R. DA grün 06A GRANDITS
Mon13.12.201008:30 - 11:00Sem.R. DA grün 06A GRANDITS
Mon20.12.201008:30 - 11:00Sem.R. DA grün 06A GRANDITS
Mon10.01.201108:30 - 11:00Sem.R. DA grün 06A GRANDITS
Mon17.01.201108:30 - 11:00Sem.R. DA grün 06A GRANDITS
Mon24.01.201108:30 - 11:00Sem.R. DA grün 06A GRANDITS

Course registration

Not necessary

Curricula

Study CodeObligationSemesterPrecon.Info
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 Mandatory3. Semester
066 405 Financial and Actuarial Mathematics Mandatory3. Semester
066 415 Actuarial Mathematics Mandatory3. 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