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.

2014W, VU, 3.0h, 4.5EC


  • 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.



Course dates

Mon08:30 - 11:0006.10.2014 - 26.01.2015Sem.R. DA grün 06A .
AKVFM stochastic control theory - Single appointments
Mon06.10.201408:30 - 11:00Sem.R. DA grün 06A .
Mon13.10.201408:30 - 11:00Sem.R. DA grün 06A .
Mon20.10.201408:30 - 11:00Sem.R. DA grün 06A .
Mon27.10.201408:30 - 11:00Sem.R. DA grün 06A .
Mon03.11.201408:30 - 11:00Sem.R. DA grün 06A .
Mon10.11.201408:30 - 11:00Sem.R. DA grün 06A .
Mon17.11.201408:30 - 11:00Sem.R. DA grün 06A .
Mon24.11.201408:30 - 11:00Sem.R. DA grün 06A .
Mon01.12.201408:30 - 11:00Sem.R. DA grün 06A .
Mon15.12.201408:30 - 11:00Sem.R. DA grün 06A .
Mon12.01.201508:30 - 11:00Sem.R. DA grün 06A .
Mon19.01.201508:30 - 11:00Sem.R. DA grün 06A .
Mon26.01.201508:30 - 11:00Sem.R. DA grün 06A .

Course registration

Begin End Deregistration end
31.08.2014 00:00 06.10.2014 23:59 30.10.2014 23:59


Study CodeObligationSemesterPrecon.Info
066 405 Financial and Actuarial Mathematics Mandatory
066 415 Actuarial Mathematics Mandatory3. Semester
860 Technical Mathematics Mandatory elective
860 GW Optional Courses - Technical Mathematics Not specified
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


No lecture notes are available.