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, VO, 2.0h, 3.0EC

Properties

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

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

Examination modalities

oral exam

Course registration

Begin End Deregistration end
14.09.2020 00:00 29.10.2020 23:59 29.10.2020 23:59

Curricula

Literature

No lecture notes are available.

Preceding courses

Language

if required in English