105.129 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.

2008W, SE, 2.0h, 3.0EC

Properties

  • Semester hours: 2.0
  • Credits: 3.0
  • Type: SE Seminar

Aim of course

Ttheory of stochastic integration with respect to general semimartingales

Subject of course

Semimartingales and stochastic integrals: Itô's formula and applications Semimartingales and decomposable processes: classification of stopping times, Doob–Meyer decomposition, quasimartingales, compensators, fundamental theorem of local martingales, Girsanov's theorem, Bichteler-Dellacherie theorem General stochastic integration and local times: predictable integrands, martingale representation

Additional information

Please consider the plagiarism guidelines of TU Wien when writing your seminar paper: http://www.tuwien.ac.at/fileadmin/t/ukanzlei/t-ukanzlei-english/Plagiarism.pdfPlease consider the plagiarism guidelines of TU Wien when writing your seminar paper: Directive concerning the handling of plagiarism (PDF)

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Tue16:00 - 17:3007.10.2008GM 7 Kleiner Schiffbau SCHMOCK
Tue14:30 - 16:0014.10.2008 - 28.10.2008Sem.R. DA grün 03 B SCHMOCK
Tue14:30 - 16:0004.11.2008GM 7 Kleiner Schiffbau SCHMOCK
Tue14:30 - 16:0011.11.2008 - 20.01.2009Sem.R. DA grün 03 B SCHMOCK
Tue14:30 - 16:0003.02.2009Sem.R. DA grün 03 B SCHMOCK
Tue14:30 - 16:0017.02.2009Sem.R. DA grün 06A SCHMOCK
AKFVM Stochastic Integration - Single appointments
DayDateTimeLocationDescription
Tue07.10.200816:00 - 17:30GM 7 Kleiner Schiffbau SCHMOCK
Tue14.10.200814:30 - 16:00Sem.R. DA grün 03 B SCHMOCK
Tue21.10.200814:30 - 16:00Sem.R. DA grün 03 B SCHMOCK
Tue28.10.200814:30 - 16:00Sem.R. DA grün 03 B SCHMOCK
Tue04.11.200814:30 - 16:00GM 7 Kleiner Schiffbau SCHMOCK
Tue11.11.200814:30 - 16:00Sem.R. DA grün 03 B SCHMOCK
Tue18.11.200814:30 - 16:00Sem.R. DA grün 03 B SCHMOCK
Tue25.11.200814:30 - 16:00Sem.R. DA grün 03 B SCHMOCK
Tue02.12.200814:30 - 16:00Sem.R. DA grün 03 B SCHMOCK
Tue09.12.200814:30 - 16:00Sem.R. DA grün 03 B SCHMOCK
Tue16.12.200814:30 - 16:00Sem.R. DA grün 03 B SCHMOCK
Tue23.12.200814:30 - 16:00Sem.R. DA grün 03 B SCHMOCK
Tue30.12.200814:30 - 16:00Sem.R. DA grün 03 B SCHMOCK
Tue06.01.200914:30 - 16:00Sem.R. DA grün 03 B SCHMOCK
Tue13.01.200914:30 - 16:00Sem.R. DA grün 03 B SCHMOCK
Tue20.01.200914:30 - 16:00Sem.R. DA grün 03 B SCHMOCK
Tue03.02.200914:30 - 16:00Sem.R. DA grün 03 B SCHMOCK
Tue17.02.200914:30 - 16:00Sem.R. DA grün 06A SCHMOCK

Course registration

Not necessary

Curricula

Literature

Philip E. Protter: Stochastic Integration and Differential Equations, Second Edition, Version 2.1, Springer-Verlag, 2005, ISBN 3-540-00313-4 (Chapter 2–4). Stewart N. Ethier and Thomas Kurtz: Markov Processes, Characterization and Convergence, Wiley, New York, 1986, ISBN 0-471-08186-8 (Chapters 2 and 5).

Previous knowledge

Good background in probability theory (Poisson process, Brownian motion, martingales, Lévy processes, etc.)

Preceding courses

Language

English