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.

2018W, 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

a short revision of the elements of stochastic analysis as e.g. Ito Integral, Ito's formula and stochastic differential equations; dynamic programming principle, Hamilton-Jacobi-Bellman equation; verification theorems; local time of Brownian motion and singular control theory; examples from actuarial and financial mathematics as e.g. optimal investment problems, minimizing ruin probabilities, etc.; martingal methods in stochastic optimization; introduction into the theory of viscosity solutions

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Mon08:30 - 11:0008.10.2018 - 21.01.2019Sem.R. DA grün 06A .
AKVFM stochastic control theory - Single appointments
DayDateTimeLocationDescription
Mon08.10.201808:30 - 11:00Sem.R. DA grün 06A .
Mon15.10.201808:30 - 11:00Sem.R. DA grün 06A .
Mon22.10.201808:30 - 11:00Sem.R. DA grün 06A .
Mon29.10.201808:30 - 11:00Sem.R. DA grün 06A .
Mon05.11.201808:30 - 11:00Sem.R. DA grün 06A .
Mon12.11.201808:30 - 11:00Sem.R. DA grün 06A .
Mon19.11.201808:30 - 11:00Sem.R. DA grün 06A .
Mon26.11.201808:30 - 11:00Sem.R. DA grün 06A .
Mon03.12.201808:30 - 11:00Sem.R. DA grün 06A .
Mon10.12.201808:30 - 11:00Sem.R. DA grün 06A .
Mon17.12.201808:30 - 11:00Sem.R. DA grün 06A .
Mon07.01.201908:30 - 11:00Sem.R. DA grün 06A .
Mon14.01.201908:30 - 11:00Sem.R. DA grün 06A .
Mon21.01.201908:30 - 11:00Sem.R. DA grün 06A .

Course registration

Begin End Deregistration end
02.09.2018 00:00 08.10.2018 23:59 01.11.2018 23:59

Curricula

Literature

No lecture notes are available.

Language

if required in English