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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
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.pdf
Please consider the plagiarism guidelines of TU Wien when writing your seminar paper:
Directive concerning the handling of plagiarism (PDF)
Lecturers
Schmock, Uwe
Acciaio, Beatrice
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Tue
16:00 - 17:30
07.10.2008
GM 7 Kleiner Schiffbau
SCHMOCK
Tue
14:30 - 16:00
14.10.2008 - 28.10.2008
Sem.R. DA grün 03 B
SCHMOCK
Tue
14:30 - 16:00
04.11.2008
GM 7 Kleiner Schiffbau
SCHMOCK
Tue
14:30 - 16:00
11.11.2008 - 20.01.2009
Sem.R. DA grün 03 B
SCHMOCK
Tue
14:30 - 16:00
03.02.2009
Sem.R. DA grün 03 B
SCHMOCK
Tue
14:30 - 16:00
17.02.2009
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
07.10.2008
16:00 - 17:30
GM 7 Kleiner Schiffbau
SCHMOCK
Tue
14.10.2008
14:30 - 16:00
Sem.R. DA grün 03 B
SCHMOCK
Tue
21.10.2008
14:30 - 16:00
Sem.R. DA grün 03 B
SCHMOCK
Tue
28.10.2008
14:30 - 16:00
Sem.R. DA grün 03 B
SCHMOCK
Tue
04.11.2008
14:30 - 16:00
GM 7 Kleiner Schiffbau
SCHMOCK
Tue
11.11.2008
14:30 - 16:00
Sem.R. DA grün 03 B
SCHMOCK
Tue
18.11.2008
14:30 - 16:00
Sem.R. DA grün 03 B
SCHMOCK
Tue
25.11.2008
14:30 - 16:00
Sem.R. DA grün 03 B
SCHMOCK
Tue
02.12.2008
14:30 - 16:00
Sem.R. DA grün 03 B
SCHMOCK
Tue
09.12.2008
14:30 - 16:00
Sem.R. DA grün 03 B
SCHMOCK
Tue
16.12.2008
14:30 - 16:00
Sem.R. DA grün 03 B
SCHMOCK
Tue
23.12.2008
14:30 - 16:00
Sem.R. DA grün 03 B
SCHMOCK
Tue
30.12.2008
14:30 - 16:00
Sem.R. DA grün 03 B
SCHMOCK
Tue
06.01.2009
14:30 - 16:00
Sem.R. DA grün 03 B
SCHMOCK
Tue
13.01.2009
14:30 - 16:00
Sem.R. DA grün 03 B
SCHMOCK
Tue
20.01.2009
14:30 - 16:00
Sem.R. DA grün 03 B
SCHMOCK
Tue
03.02.2009
14:30 - 16:00
Sem.R. DA grün 03 B
SCHMOCK
Tue
17.02.2009
14:30 - 16:00
Sem.R. DA grün 06A
SCHMOCK
F
P
1
N
E
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
066 415 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 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
105.114 VU AKFVM Stochastic Integration
Language
English