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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.
2020W
2019W
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
Klein, Maike
Yang, Junjian
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
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
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