Deutsch
Help
Login
Lectures
Courses
Academic Programs
Offered Theses
Application for studies
Mobility Services
roomTUlearn
Rooms
Booking Schedule
Student Support Services
Lehre
Forschung
Organisation
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.
2020W
2019W
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
F
P
1
N
E
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
.
F
P
1
N
E
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
Literature
No lecture notes are available.
Preceding courses
105.053 VU AKVFM stochastic control theory
105.653 VO Stochastic analysis in financial and actuarial mathematics 1
105.594 VO Mathematical Finance 1: Discrete-Time Models
105.057 VO Mathematical Finance 2: Continuous-Time Models
Language
if required in English
