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.

2019W, VO, 2.0h, 3.0EC

Properties

  • Semester hours: 2.0
  • Credits: 3.0
  • Type: VO Lecture

Learning outcomes

After successful completion of the course, students are able to...

reflect and explain the theory as well as to apply the learned skills in practice (this is a standard text, which will be updated during September 2019)

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

Teaching methods

The basic contents and concepts are presented by the head of the LVA and illustrated and discussed with the help of examples.

Mode of examination

Oral

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Mon16:00 - 18:0007.10.2019 - 27.01.2020Sem.R. DB gelb 07 .
Thu09:00 - 11:0010.10.2019 - 30.01.2020Sem.R. DA grün 03 B .
Thu09:00 - 11:0014.11.2019Sem.R. DB gelb 04 .
AKFVM Stochastic Analysis in Financial and Actuarial Mathematics 3 - Single appointments
DayDateTimeLocationDescription
Mon07.10.201916:00 - 18:00Sem.R. DB gelb 07 .
Thu10.10.201909:00 - 11:00Sem.R. DA grün 03 B .
Mon14.10.201916:00 - 18:00Sem.R. DB gelb 07 .
Thu17.10.201909:00 - 11:00Sem.R. DA grün 03 B .
Mon21.10.201916:00 - 18:00Sem.R. DB gelb 07 .
Thu24.10.201909:00 - 11:00Sem.R. DA grün 03 B .
Thu07.11.201909:00 - 11:00Sem.R. DA grün 03 B .
Mon11.11.201916:00 - 18:00Sem.R. DB gelb 07 .
Thu14.11.201909:00 - 11:00Sem.R. DB gelb 04 .
Mon18.11.201916:00 - 18:00Sem.R. DB gelb 07 .
Thu21.11.201909:00 - 11:00Sem.R. DA grün 03 B .
Mon25.11.201916:00 - 18:00Sem.R. DB gelb 07 .
Thu28.11.201909:00 - 11:00Sem.R. DA grün 03 B .
Mon02.12.201916:00 - 18:00Sem.R. DB gelb 07 .
Thu05.12.201909:00 - 11:00Sem.R. DA grün 03 B .
Mon09.12.201916:00 - 18:00Sem.R. DB gelb 07 .
Thu12.12.201909:00 - 11:00Sem.R. DA grün 03 B .
Mon16.12.201916:00 - 18:00Sem.R. DB gelb 07 .
Thu09.01.202009:00 - 11:00Sem.R. DA grün 03 B .
Mon13.01.202016:00 - 18:00Sem.R. DB gelb 07 .

Examination modalities

The performance is assessed by an examination at the end of the semester.
See: https://fam.tuwien.ac.at/lehre/pr/


Course registration

Begin End Deregistration end
01.08.2019 00:00 13.10.2019 23:59 04.01.2020 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