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Inhalt: Ausgewählte Kapitel aus der Stochastischen Analysis, aufbauend auf der Vorlesung Stochastistische Analysis (Stochastic Processes II) Backward Stochastic Differential Equations and Stochastic Analysis for Processes with Jumps: Lévy Processes & Random Measures, Stochastic Differential Equations (with Jumps). Backward – SDES, (classical Lipschitz and beyond: Quadratic, Jumps….), Non-linear Feymann-Kac, Applications to Stochastic Optimal Control and Finance as time permits. * Prequisites: Ito-calculus (matingale theory in continuous time, stochastic integration, stochastic differential equations and martingale representation wrt. brownian motion) as taught in lecture "Stochastische Analysis" (aka BMS lecture "stochastic processes II"). |
