DE

Modul

Stochastic Control [M-MATH-102908]

Credits
4
Recurrence
Unregelmäßig
Duration
1 Semester
Language
Level
4
Version
1

Responsible

Organisation

  • KIT-Fakultät für Mathematik

Part of

Bricks

Identifier Name LP
T-MATH-105871 Stochastic Control 4

Competence Certificate

The module will be completed by an oral exam (about 20 min).

Competence Goal

At the end of the course, students

  • can name the mathematical foundations of stochastic control and and are able to apply solution techniques,
  • can formulate continuous-time dynamic stochastic optimization problems as stochastic control problems,
  • are able to work in a self-organized and reflective manner,

Prerequisites

none

Content

  • Verification techniques, Hamilton-Jacobi-Bellman equation
  • Viscosity solution
  • Singular control
  • Feynman-Kac representations
  • Applications from finance and insurance

Recommendation

The course 'Probably Theory' is strongly recommended. The courses 'Brownian motion' and 'Continuous time finance' are recommended.

Workload

Total workload: 120 hours

Attendance: 45 hours

  • lectures, problem classes, and examination 

Self-studies: 75 hours

  • follow-up and deepening of the course content,
  • work on problem sheets,
  • literature study and internet research relating to the course content,
  • preparation for the module examination