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

Institute

Course dates

DayTimeDateLocationDescription
Mon16:00 - 18:0001.10.2018 - 28.01.2019Sem.R. DB gelb 07 .
Thu09:00 - 11:0018.10.2018 - 31.01.2019Sem.R. DA grün 03 B .
AKFVM Stochastic Analysis in Financial and Actuarial Mathematics 3 - Single appointments
DayDateTimeLocationDescription
Mon01.10.201816:00 - 18:00Sem.R. DB gelb 07 .
Mon08.10.201816:00 - 18:00Sem.R. DB gelb 07 .
Mon15.10.201816:00 - 18:00Sem.R. DB gelb 07 .
Thu18.10.201809:00 - 11:00Sem.R. DA grün 03 B .
Mon22.10.201816:00 - 18:00Sem.R. DB gelb 07 .
Thu25.10.201809:00 - 11:00Sem.R. DA grün 03 B .
Mon29.10.201816:00 - 18:00Sem.R. DB gelb 07 .
Mon05.11.201816:00 - 18:00Sem.R. DB gelb 07 .
Thu08.11.201809:00 - 11:00Sem.R. DA grün 03 B .
Mon12.11.201816:00 - 18:00Sem.R. DB gelb 07 .
Mon19.11.201816:00 - 18:00Sem.R. DB gelb 07 .
Thu22.11.201809:00 - 11:00Sem.R. DA grün 03 B .
Mon26.11.201816:00 - 18:00Sem.R. DB gelb 07 .
Mon03.12.201816:00 - 18:00Sem.R. DB gelb 07 .
Thu06.12.201809:00 - 11:00Sem.R. DA grün 03 B .
Mon10.12.201816:00 - 18:00Sem.R. DB gelb 07 .
Thu13.12.201809:00 - 11:00Sem.R. DA grün 03 B .
Mon17.12.201816:00 - 18:00Sem.R. DB gelb 07 .
Thu20.12.201809:00 - 11:00Sem.R. DA grün 03 B .
Mon07.01.201916:00 - 18:00Sem.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

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.

Preceding courses

Accompanying courses

Language

if required in English