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.

2012W, 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 - 11:0008.10.2012 - 28.01.2013Sem.R. DA grün 06A .
AKVFM stochastic control theory - Single appointments
DayDateTimeLocationDescription
Mon08.10.201208:30 - 11:00Sem.R. DA grün 06A .
Mon15.10.201208:30 - 11:00Sem.R. DA grün 06A .
Mon22.10.201208:30 - 11:00Sem.R. DA grün 06A .
Mon29.10.201208:30 - 11:00Sem.R. DA grün 06A .
Mon05.11.201208:30 - 11:00Sem.R. DA grün 06A .
Mon12.11.201208:30 - 11:00Sem.R. DA grün 06A .
Mon19.11.201208:30 - 11:00Sem.R. DA grün 06A .
Mon26.11.201208:30 - 11:00Sem.R. DA grün 06A .
Mon03.12.201208:30 - 11:00Sem.R. DA grün 06A .
Mon10.12.201208:30 - 11:00Sem.R. DA grün 06A .
Mon17.12.201208:30 - 11:00Sem.R. DA grün 06A .
Mon07.01.201308:30 - 11:00Sem.R. DA grün 06A .
Mon14.01.201308:30 - 11:00Sem.R. DA grün 06A .
Mon21.01.201308:30 - 11:00Sem.R. DA grün 06A .
Mon28.01.201308:30 - 11:00Sem.R. DA grün 06A .

Course registration

Begin End Deregistration end
01.08.2012 00:00 07.10.2012 23:59 31.10.2012 23:59

Curricula

Literature

No lecture notes are available.

Language

German