Universität Wien

040044 VK Stochastic Methods in Economics (MA) (2014W)

8.00 ECTS (4.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work
Moodle

Registration/Deregistration

Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).

Details

max. 50 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

  • Tuesday 04.11. 16:45 - 18:15 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 05.11. 16:45 - 18:15 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Thursday 06.11. 08:00 - 09:30 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 11.11. 16:45 - 18:15 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 12.11. 16:45 - 18:15 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Thursday 13.11. 08:00 - 09:30 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 18.11. 16:45 - 18:15 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 19.11. 16:45 - 18:15 Hörsaal 3 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Thursday 20.11. 08:00 - 09:30 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 25.11. 16:45 - 18:15 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 26.11. 16:45 - 18:15 Hörsaal 3 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Thursday 27.11. 08:00 - 09:30 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 02.12. 16:45 - 18:15 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 03.12. 16:45 - 18:15 Hörsaal 3 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Thursday 04.12. 08:00 - 09:30 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 16.12. 16:45 - 18:15 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 17.12. 16:45 - 18:15 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Thursday 18.12. 08:00 - 09:30 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 07.01. 16:45 - 18:15 Hörsaal 3 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Thursday 08.01. 08:00 - 09:30 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 13.01. 16:45 - 18:15 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 14.01. 16:45 - 18:15 Hörsaal 3 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Thursday 15.01. 08:00 - 09:30 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 20.01. 16:45 - 18:15 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 21.01. 16:45 - 18:15 Hörsaal 3 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Thursday 22.01. 08:00 - 09:30 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 27.01. 16:45 - 18:15 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 28.01. 16:45 - 18:15 Hörsaal 3 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Thursday 29.01. 08:00 - 09:30 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock

Information

Aims, contents and method of the course

The purpose of this course is to introduce students to stochastic methods in economics. In most of perceived economic theory, elements of chance are unavoi-dable to provide robust and accurate models for real-world phenomena. A sound knowledge of the technical aspects of this literature is necessary for students in order to be able to follow this literature and helps them in expressing their own ideas. After completing this class the student will have a rough idea of the relevant techniques.

The following topics will be covered in the lecture:
- Elements of Probability theory

- Markov processes.
- Applications:
Markov Decision processes (Dynamic Programming)
Stochastic and Repeated Games
Evolution and Learning dynamics
Contract Theory

- Stochastic Calculus (eventually)
Brownian Motion, Ito Calculus.
- Applications:
The Holmstrom-Milgrom and the Sannikov Model in Principal-Agent Theory

Prerequisites:
The student should be familiar with the concept of probability (as taught in typical statistics classes for undergraduates), analysis (integral and differential calculus), and decision theory. Knowledge of basic game theory (Strategies, Nash equilibrium) and microeconomics are also very useful.

Assessment and permitted materials

There will be midterm and a final exam (written or oral, depending on the number of students). Additionally I will hand-out exercises which you should solve at home. The final grade consists of a weighted average of these 3 parts.

Minimum requirements and assessment criteria

Examination topics

Reading list

During the semester students I will make my lecture notes available to the students. If there is a particular interest in some topic, I will mention suitable additional references.

Association in the course directory

Last modified: Mo 07.09.2020 15:28