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.

2021W, VO, 2.0h, 3.0EC


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

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




Course dates

Thu09:00 - 11:0007.10.2021 Zoom / siehe TUWEL (LIVE).
Thu10:00 - 12:0014.10.2021 - 27.01.2022 Zoom / siehe TUWEL (LIVE).
AKFVM Stochastic Analysis in Financial and Actuarial Mathematics 3 - Single appointments
Thu07.10.202109:00 - 11:00 Zoom / siehe TUWEL.
Thu14.10.202110:00 - 12:00 Zoom / siehe TUWEL.
Thu21.10.202110:00 - 12:00 Zoom / siehe TUWEL.
Thu28.10.202110:00 - 12:00 Zoom / siehe TUWEL.
Thu04.11.202110:00 - 12:00 Zoom / siehe TUWEL.
Thu11.11.202110:00 - 12:00 Zoom / siehe TUWEL.
Thu18.11.202110:00 - 12:00 Zoom / siehe TUWEL.
Thu25.11.202110:00 - 12:00 Zoom / siehe TUWEL.
Thu02.12.202110:00 - 12:00 Zoom / siehe TUWEL.
Thu09.12.202110:00 - 12:00 Zoom / siehe TUWEL.
Thu16.12.202110:00 - 12:00 Zoom / siehe TUWEL.
Thu13.01.202210:00 - 12:00 Zoom / siehe TUWEL.
Thu20.01.202210:00 - 12:00 Zoom / siehe TUWEL.
Thu27.01.202210:00 - 12:00 Zoom / siehe TUWEL.

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
29.07.2021 00:00 17.10.2021 23:59 01.01.2022 23:59



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


if required in English