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, 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

  1. Preliminaries: basic notation, martingales, Poisson process, Brownian motion, Lévy processes, local martingales
  2. Semimartingales and stochastic integrals: semimartingales (stability properties, examples), stochastic integral and properties, quadratic variation of a semimartingale, Itô's formula

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Thu13:00 - 16:0016.10.2014 - 22.01.2015Sem.R. DA grün 03 B .
AKFVM Stochastic Integration - Single appointments
DayDateTimeLocationDescription
Thu16.10.201413:00 - 16:00Sem.R. DA grün 03 B .
Thu23.10.201413:00 - 16:00Sem.R. DA grün 03 B .
Thu30.10.201413:00 - 16:00Sem.R. DA grün 03 B .
Thu06.11.201413:00 - 16:00Sem.R. DA grün 03 B .
Thu13.11.201413:00 - 16:00Sem.R. DA grün 03 B .
Thu20.11.201413:00 - 16:00Sem.R. DA grün 03 B .
Thu11.12.201413:00 - 16:00Sem.R. DA grün 03 B .
Thu18.12.201413:00 - 16:00Sem.R. DA grün 03 B .
Thu08.01.201513:00 - 16:00Sem.R. DA grün 03 B .
Thu15.01.201513:00 - 16:00Sem.R. DA grün 03 B .
Thu22.01.201513:00 - 16:00Sem.R. DA grün 03 B .

Examination modalities

Aktive participation in the exercises, oral examination.

Course registration

Not necessary

Curricula

Literature

  1. Philip E. Protter: Stochastic Integration and Differential Equations, Second Edition, Version 2.1, Springer-Verlag, 2005, ISBN 3-540-00313-4 (Chapter 1–3).
  2. 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.)

Language

English