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.

2011W, VU, 3.0h, 5.0EC

Properties

Semester hours: 3.0
Credits: 5.0
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	08:30 - 11:00	10.10.2011 - 23.01.2012	Sem.R. DA grün 06A	.

Show single appointments

AKVFM stochastic control theory - Single appointments

Day	Date	Time	Location	Description
Mon	10.10.2011	08:30 - 11:00	Sem.R. DA grün 06A	.
Mon	17.10.2011	08:30 - 11:00	Sem.R. DA grün 06A	.
Mon	24.10.2011	08:30 - 11:00	Sem.R. DA grün 06A	.
Mon	31.10.2011	08:30 - 11:00	Sem.R. DA grün 06A	.
Mon	07.11.2011	08:30 - 11:00	Sem.R. DA grün 06A	.
Mon	14.11.2011	08:30 - 11:00	Sem.R. DA grün 06A	.
Mon	21.11.2011	08:30 - 11:00	Sem.R. DA grün 06A	.
Mon	28.11.2011	08:30 - 11:00	Sem.R. DA grün 06A	.
Mon	05.12.2011	08:30 - 11:00	Sem.R. DA grün 06A	.
Mon	12.12.2011	08:30 - 11:00	Sem.R. DA grün 06A	.
Mon	19.12.2011	08:30 - 11:00	Sem.R. DA grün 06A	.
Mon	09.01.2012	08:30 - 11:00	Sem.R. DA grün 06A	.
Mon	16.01.2012	08:30 - 11:00	Sem.R. DA grün 06A	.
Mon	23.01.2012	08:30 - 11:00	Sem.R. DA grün 06A	.

Course registration

Begin	End	Deregistration end
01.09.2011 00:00	09.10.2011 23:59	09.10.2011 23:59

Curricula

Study Code	Obligation	Semester
066 400 Mathematics	Mandatory elective
066 405 Financial and Actuarial Mathematics	Mandatory	3. Semester
066 405 Financial and Actuarial Mathematics	Mandatory elective
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