Stochastic Volterra Integral Equations
Dr. Alexander Kalinin
Schedule and Venue
| Events | Date/Time | Room |
|---|---|---|
| Seminar Dr. Alexander Kalinin | Wednesday, 14:15 - 15:45 | B134 |
The course is organised via Moodle. If you want to attend the course, please register in Moodle.
In this seminar, we will study one-dimensional stochastic Volterra integral equations with a particular focus on fractional kernels. For this purpose, fundamental concepts in stochastic analysis, such as semimartingales, stochastic integrals and fractional Brownian motion, will be discussed. The aim of this course is to derive unique strong solutions under Lipschitz conditions on the drift and diffusion coefficients of the stochastic Volterra equation.
- Revuz, D. and Yor, M.: Continuous martingales and Brownian motion, Springer-Verlag, 1999.
- Karatzas, I. and Shreve, S. E.: Brownian motion and stochastic calculus, Springer-Verlag, 1988.
- Ikeda, N. and Watanabe, S.: Stochastic differential equations and diffusion processes, North-Holland Publishing Co., 1989.
All three books are available as PDF files for LMU students at the university library.
Target Participants: Master students in Mathematics and Financial and Insurance Mathematics.
Pre-requisites: Probability theory and measure and integration theory.
Applicable credits: 3 ECTS. Students may apply the credits from this course to the
- Master in Mathematics, PO 2021 (any seminar module, such as WP 12 or WP 15),
- Master in Financial and Insurance Mathematics, PO 2021 (P 3 or WP 17), PO 2019 (P 3 or WP 18).