105.053 AKVFM 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.

2022W, VU, 3.0h, 4.5EC
TUWEL

Properties

  • Semester hours: 3.0
  • Credits: 4.5
  • Type: VU Lecture and Exercise
  • Format: Presence

Learning outcomes

After successful completion of the course, students are able to

  • explain and apply basic facts from stochastic analysis such as Ito Integral, Ito Formula and stochastic differential equations,
  • apply the dynamic programming principle,
  • proof the Hamilton-Jacobi-Bellman equation and verfication theorems,
  • prove the existence of the local time of the Brownian movement and to solve singular control problems,
  • solve problems from financial and insurance mathematics such as optimal investments,
  • minimize ruin probabilities,
  • apply the martingale method in stochastic optimization and
  • motivate Viscosity Solutions.

Subject of course

a short revision of the elements of stochastic analysis as e.g. Ito Integral, Ito's formula and stochastic differential equations; dynamic programming principle, Hamilton-Jacobi-Bellman equation; verification theorems; local time of Brownian motion and singular control theory; examples from actuarial and financial mathematics as e.g. optimal investment problems, minimizing ruin probabilities, etc.; martingal methods in stochastic optimization; introduction into the theory of viscosity solutions

Teaching methods

presentation about the theoretical foundations of the mentioned chapters. Moreover, presentations by the students.

 

Mode of examination

Immanent

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Mon08:00 - 11:0003.10.2022 - 23.01.2023Sem.R. DA grün 06A Beginn: 8:30
AKVFM stochastic control theory - Single appointments
DayDateTimeLocationDescription
Mon03.10.202208:00 - 11:00Sem.R. DA grün 06A Beginn: 8:30
Mon17.10.202208:00 - 11:00Sem.R. DA grün 06A Beginn: 8:30 - ONLINE VIA ZOOM: https://tuwien.zoom.us/j/96584873499?pwd=M0d2VFYwcmdOelRkU1BpVmhEVFdBZz09
Mon24.10.202208:00 - 11:00Sem.R. DA grün 06A Beginn: 8:30
Mon31.10.202208:00 - 11:00Sem.R. DA grün 06A Beginn: 8:30
Mon07.11.202208:00 - 11:00Sem.R. DA grün 06A Beginn: 8:30
Mon14.11.202208:00 - 11:00Sem.R. DA grün 06A Beginn: 8:30
Mon21.11.202208:00 - 11:00Sem.R. DA grün 06A Beginn: 8:30
Mon28.11.202208:00 - 11:00Sem.R. DA grün 06A Beginn: 8:30
Mon05.12.202208:00 - 11:00Sem.R. DA grün 06A Beginn: 8:30
Mon12.12.202208:00 - 11:00Sem.R. DA grün 06A Beginn: 8:30
Mon19.12.202208:00 - 11:00Sem.R. DA grün 06A Beginn: 8:30
Mon09.01.202308:00 - 11:00Sem.R. DA grün 06A Beginn: 8:30
Mon16.01.202308:00 - 11:00Sem.R. DA grün 06A Beginn: 8:30
Mon23.01.202308:00 - 11:00Sem.R. DA grün 06A Beginn: 8:30

Examination modalities

oral exam and talk

Course registration

Begin End Deregistration end
04.09.2022 00:00 31.10.2022 23:59 05.11.2022 23:59

Curricula

Literature

No lecture notes are available.

Language

if required in English