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105.713 AKFVM Selected topics in stochastic control theory
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

analyze different classes of important optimal control problems
characterize the solutions of these important control problems
determine optimal strategies

Subject of course

viscosity solutions
optimal stopping problems
backward stochastic differential equations (BSDEs)
stochastic games
and their application in mathematical finance

Teaching methods

Lecture, blackboard talk
Analysis of applications in mathematical finance

Mode of examination

Oral

Lecturers

Klein, Maike
Yang, Junjian

Institute

E105 Institute of Statistics and Mathematical Methods in Economics

Course dates

Day	Time	Date	Location	Description
Mon	14:00 - 16:00	07.10.2019 - 27.01.2020	Sem.R. DA grün 06A	.
Mon	14:00 - 16:00	14.10.2019	Sem.R. DB gelb 07	Anderer Raum!

Show single appointments

AKFVM Selected topics in stochastic control theory - Single appointments

Day	Date	Time	Location	Description
Mon	07.10.2019	14:00 - 16:00	Sem.R. DA grün 06A	.
Mon	14.10.2019	14:00 - 16:00	Sem.R. DB gelb 07	Anderer Raum!
Mon	21.10.2019	14:00 - 16:00	Sem.R. DA grün 06A	.
Mon	28.10.2019	14:00 - 16:00	Sem.R. DA grün 06A	.
Mon	04.11.2019	14:00 - 16:00	Sem.R. DA grün 06A	.
Mon	11.11.2019	14:00 - 16:00	Sem.R. DA grün 06A	.
Mon	18.11.2019	14:00 - 16:00	Sem.R. DA grün 06A	.
Mon	25.11.2019	14:00 - 16:00	Sem.R. DA grün 06A	.
Mon	02.12.2019	14:00 - 16:00	Sem.R. DA grün 06A	.
Mon	09.12.2019	14:00 - 16:00	Sem.R. DA grün 06A	.
Mon	16.12.2019	14:00 - 16:00	Sem.R. DA grün 06A	.
Mon	13.01.2020	14:00 - 16:00	Sem.R. DA grün 06A	.
Mon	20.01.2020	14:00 - 16:00	Sem.R. DA grün 06A	.
Mon	27.01.2020	14:00 - 16:00	Sem.R. DA grün 06A	.

Examination modalities

oral exam

Course registration

Begin	End	Deregistration end
16.09.2019 00:00	31.10.2019 23:59	31.10.2019 23:59

Curricula

Study Code	Obligation	Semester	Precon.	Info
860 GW Optional Courses - Technical Mathematics	Mandatory elective