105.630 AKFVM Stochastic Analysis in Financial and Actuarial Mathematics 3
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2018W, VO, 2.0h, 3.0EC

Properties

Semester hours: 2.0
Credits: 3.0
Type: VO Lecture

Aim of course

Advanced subjects of stochastic analysis as needed for continuous-time financial and actuarial mathematics.

Subject of course

Kazamaki's and Novikov's criterion, stochastic Fubini theorem, stochastic differential equations (existence and uniqueness under Lipschitz conditions, Yamada-Watanabe condition for pathwise uniqueness), introduction to Markov processes, Doob-Meyer decomposition, local time of Brownian motion

Lecturers

Schmock, Uwe

Institute

E105 Institute of Statistics and Mathematical Methods in Economics

Course dates

Day	Time	Date	Location	Description
Mon	16:00 - 18:00	01.10.2018 - 28.01.2019	Sem.R. DB gelb 07	.
Thu	09:00 - 11:00	18.10.2018 - 31.01.2019	Sem.R. DA grün 03 B	.

Show single appointments

AKFVM Stochastic Analysis in Financial and Actuarial Mathematics 3 - Single appointments

Day	Date	Time	Location	Description
Mon	01.10.2018	16:00 - 18:00	Sem.R. DB gelb 07	.
Mon	08.10.2018	16:00 - 18:00	Sem.R. DB gelb 07	.
Mon	15.10.2018	16:00 - 18:00	Sem.R. DB gelb 07	.
Thu	18.10.2018	09:00 - 11:00	Sem.R. DA grün 03 B	.
Mon	22.10.2018	16:00 - 18:00	Sem.R. DB gelb 07	.
Thu	25.10.2018	09:00 - 11:00	Sem.R. DA grün 03 B	.
Mon	29.10.2018	16:00 - 18:00	Sem.R. DB gelb 07	.
Mon	05.11.2018	16:00 - 18:00	Sem.R. DB gelb 07	.
Thu	08.11.2018	09:00 - 11:00	Sem.R. DA grün 03 B	.
Mon	12.11.2018	16:00 - 18:00	Sem.R. DB gelb 07	.
Mon	19.11.2018	16:00 - 18:00	Sem.R. DB gelb 07	.
Thu	22.11.2018	09:00 - 11:00	Sem.R. DA grün 03 B	.
Mon	26.11.2018	16:00 - 18:00	Sem.R. DB gelb 07	.
Mon	03.12.2018	16:00 - 18:00	Sem.R. DB gelb 07	.
Thu	06.12.2018	09:00 - 11:00	Sem.R. DA grün 03 B	.
Mon	10.12.2018	16:00 - 18:00	Sem.R. DB gelb 07	.
Thu	13.12.2018	09:00 - 11:00	Sem.R. DA grün 03 B	.
Mon	17.12.2018	16:00 - 18:00	Sem.R. DB gelb 07	.
Thu	20.12.2018	09:00 - 11:00	Sem.R. DA grün 03 B	.
Mon	07.01.2019	16:00 - 18:00	Sem.R. DB gelb 07	.

Examination modalities

oral Exam

Course registration

Begin	End	Deregistration end
31.08.2018 00:00	14.10.2018 23:59	05.01.2019 23:59

Curricula

Study Code	Obligation	Semester	Precon.	Info
860 GW Optional Courses - Technical Mathematics	Not specified

Literature

Registered students (of part 1 of the course) have access to an English script in electronic format with numerous references. The script will be updated on a continuing basis. Recommended literature is in particular:

Bernt Øksendal: Stochastic Differential Equations: An Introduction with Applications. 6. Edition, Springer-Verlag, 2007, ISBN 978-3-54004-758-2.
Daniel Revuz and Marc Yor: Continuous Martingales and Brownian Motion, 3. Edition, Springer-Verlag, 1999, ISBN 3-540-64325-7.
Olav Kallenberg: Foundations of Modern Probability. 2. Edition, Springer-Verlag, 2002, ISBN 0-387-953113-2.
Ioannis Karatzas und Steven E. Shreve: Brownian Motion and Stochastic Calculus. 2. Edition, Springer-Verlag, ISBN 0-38797-655-8.