105.140 AKFVM Theory of Semimartingales Canceled
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2009S, SE, 2.0h, 3.0EC

Properties

Semester hours: 2.0
Credits: 3.0
Type: SE Seminar

Aim of course

Theory of general semimartingales, martingal representations

Subject of course

Semimartingales: quasimartingales, compensators, fundamental theorem of local martingales, Girsanov's theorem, Bichteler-Dellacherie theorem General stochastic integration and local times: predictable integrands, martingale representation, local times

Additional information

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	14:30 - 16:00	10.03.2009 - 30.06.2009	Sem.R. DA grün 03 C	SCHMOCK

Show single appointments

AKFVM Theory of Semimartingales - Single appointments

Day	Date	Time	Location	Description
Tue	10.03.2009	14:30 - 16:00	Sem.R. DA grün 03 C	SCHMOCK
Tue	17.03.2009	14:30 - 16:00	Sem.R. DA grün 03 C	SCHMOCK
Tue	24.03.2009	14:30 - 16:00	Sem.R. DA grün 03 C	SCHMOCK
Tue	31.03.2009	14:30 - 16:00	Sem.R. DA grün 03 C	SCHMOCK
Tue	07.04.2009	14:30 - 16:00	Sem.R. DA grün 03 C	SCHMOCK
Tue	14.04.2009	14:30 - 16:00	Sem.R. DA grün 03 C	SCHMOCK
Tue	21.04.2009	14:30 - 16:00	Sem.R. DA grün 03 C	SCHMOCK
Tue	28.04.2009	14:30 - 16:00	Sem.R. DA grün 03 C	SCHMOCK
Tue	05.05.2009	14:30 - 16:00	Sem.R. DA grün 03 C	SCHMOCK
Tue	12.05.2009	14:30 - 16:00	Sem.R. DA grün 03 C	SCHMOCK
Tue	19.05.2009	14:30 - 16:00	Sem.R. DA grün 03 C	SCHMOCK
Tue	26.05.2009	14:30 - 16:00	Sem.R. DA grün 03 C	SCHMOCK
Tue	02.06.2009	14:30 - 16:00	Sem.R. DA grün 03 C	SCHMOCK
Tue	09.06.2009	14:30 - 16:00	Sem.R. DA grün 03 C	SCHMOCK
Tue	16.06.2009	14:30 - 16:00	Sem.R. DA grün 03 C	SCHMOCK
Tue	23.06.2009	14:30 - 16:00	Sem.R. DA grün 03 C	SCHMOCK
Tue	30.06.2009	14:30 - 16:00	Sem.R. DA grün 03 C	SCHMOCK

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 3 and 4).

Preceding courses

Language

English