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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

Institute

Course dates

DayTimeDateLocationDescription
Mon14:00 - 16:0007.10.2019 - 27.01.2020Sem.R. DA grün 06A .
Mon14:00 - 16:0014.10.2019Sem.R. DB gelb 07 Anderer Raum!
AKFVM Selected topics in stochastic control theory - Single appointments
DayDateTimeLocationDescription
Mon07.10.201914:00 - 16:00Sem.R. DA grün 06A .
Mon14.10.201914:00 - 16:00Sem.R. DB gelb 07 Anderer Raum!
Mon21.10.201914:00 - 16:00Sem.R. DA grün 06A .
Mon28.10.201914:00 - 16:00Sem.R. DA grün 06A .
Mon04.11.201914:00 - 16:00Sem.R. DA grün 06A .
Mon11.11.201914:00 - 16:00Sem.R. DA grün 06A .
Mon18.11.201914:00 - 16:00Sem.R. DA grün 06A .
Mon25.11.201914:00 - 16:00Sem.R. DA grün 06A .
Mon02.12.201914:00 - 16:00Sem.R. DA grün 06A .
Mon09.12.201914:00 - 16:00Sem.R. DA grün 06A .
Mon16.12.201914:00 - 16:00Sem.R. DA grün 06A .
Mon13.01.202014:00 - 16:00Sem.R. DA grün 06A .
Mon20.01.202014:00 - 16:00Sem.R. DA grün 06A .
Mon27.01.202014:00 - 16:00Sem.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

Literature

No lecture notes are available.

Preceding courses

Language

if required in English