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.

2015W, 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 - 11:0005.10.2015 - 25.01.2016Sem.R. DA grün 06A .
AKVFM stochastic control theory - Single appointments
DayDateTimeLocationDescription
Mon05.10.201508:30 - 11:00Sem.R. DA grün 06A .
Mon12.10.201508:30 - 11:00Sem.R. DA grün 06A .
Mon19.10.201508:30 - 11:00Sem.R. DA grün 06A .
Mon09.11.201508:30 - 11:00Sem.R. DA grün 06A .
Mon16.11.201508:30 - 11:00Sem.R. DA grün 06A .
Mon23.11.201508:30 - 11:00Sem.R. DA grün 06A .
Mon30.11.201508:30 - 11:00Sem.R. DA grün 06A .
Mon07.12.201508:30 - 11:00Sem.R. DA grün 06A .
Mon14.12.201508:30 - 11:00Sem.R. DA grün 06A .
Mon11.01.201608:30 - 11:00Sem.R. DA grün 06A .
Mon18.01.201608:30 - 11:00Sem.R. DA grün 06A .
Mon25.01.201608:30 - 11:00Sem.R. DA grün 06A .

Course registration

Begin End Deregistration end
30.08.2015 00:00 05.10.2015 23:59 29.10.2015 23:59

Curricula

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

Literature

No lecture notes are available.

Language

German