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105.114
AKFVM Stochastic Integration
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
2008S
2008S, VU, 3.0h, 4.5EC
Properties
Semester hours: 3.0
Credits: 4.5
Type: VU Lecture and Exercise
Aim of course
Introduction to the theory of stochastic integration with respect to general semimartingales
Subject of course
Preliminaries:
basic notation, martingales, Poisson process, Brownian motion, Lévy processes, local martingales
Semimartingales and stochastic integrals:
semimartingales (stability properties, examples), stochastic integral and properties, quadratic variation of a semimartingale, Itô's formula
Lecturers
Schmock, Uwe
Acciaio, Beatrice
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Tue
12:30 - 15:30
04.03.2008 - 24.06.2008
Sem.R. DA grün 06A
SCHMOCK
Show single appointments
AKFVM Stochastic Integration - Single appointments
F
P
1
N
E
Day
Date
Time
Location
Description
Tue
04.03.2008
12:30 - 15:30
Sem.R. DA grün 06A
SCHMOCK
Tue
11.03.2008
12:30 - 15:30
Sem.R. DA grün 06A
SCHMOCK
Tue
18.03.2008
12:30 - 15:30
Sem.R. DA grün 06A
SCHMOCK
Tue
25.03.2008
12:30 - 15:30
Sem.R. DA grün 06A
SCHMOCK
Tue
01.04.2008
12:30 - 15:30
Sem.R. DA grün 06A
SCHMOCK
Tue
08.04.2008
12:30 - 15:30
Sem.R. DA grün 06A
SCHMOCK
Tue
15.04.2008
12:30 - 15:30
Sem.R. DA grün 06A
SCHMOCK
Tue
22.04.2008
12:30 - 15:30
Sem.R. DA grün 06A
SCHMOCK
Tue
29.04.2008
12:30 - 15:30
Sem.R. DA grün 06A
SCHMOCK
Tue
06.05.2008
12:30 - 15:30
Sem.R. DA grün 06A
SCHMOCK
Tue
13.05.2008
12:30 - 15:30
Sem.R. DA grün 06A
SCHMOCK
Tue
20.05.2008
12:30 - 15:30
Sem.R. DA grün 06A
SCHMOCK
Tue
27.05.2008
12:30 - 15:30
Sem.R. DA grün 06A
SCHMOCK
Tue
03.06.2008
12:30 - 15:30
Sem.R. DA grün 06A
SCHMOCK
Tue
10.06.2008
12:30 - 15:30
Sem.R. DA grün 06A
SCHMOCK
Tue
17.06.2008
12:30 - 15:30
Sem.R. DA grün 06A
SCHMOCK
Tue
24.06.2008
12:30 - 15:30
Sem.R. DA grün 06A
SCHMOCK
F
P
1
N
E
Examination modalities
Aktive participation in the exercises, oral examination.
Course registration
Not necessary
Curricula
Study Code
Obligation
Semester
Precon.
Info
066 400 Mathematics
Not specified
066 401 Statistics
Not specified
066 402 Mathematics in Science and Technology
Not specified
066 403 Mathematics in Economics
Not specified
066 404 Mathematics in Computer Science
Not specified
066 405 Financial and Actuarial Mathematics
Not specified
860 Technical Mathematics
Not specified
864 Mathematics for Natural Sciences
Not specified
866 Economic Mathematics
Not specified
867 Statistics
Not specified
869 Mathematics in Computer Science
Not specified
873 Finance and Actuarial Mathematics
Not specified
Literature
Philip E. Protter: Stochastic Integration and Differential Equations, Second Edition, Version 2.1, Springer-Verlag, 2005, ISBN 3-540-00313-4 (Chapter 1–3).
Stewart N. Ethier and Thomas Kurtz: Markov Processes, Characterization and Convergence, Wiley, New York, 1986, ISBN 0-471-08186-8 (Chapter 2).
Previous knowledge
Good background in probability theory (Poisson process, Brownian motion, martingales, etc.)
Continuative courses
105.129 SE AKFVM Stochastic Integration
Language
English