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確率過程 に戻る

確率過程, ロシア国立研究大学経済高等学院(National Research University Higher School of Economics)

4.4
(95 件の評価)

このコースについて

The purpose of this course is to equip students with theoretical knowledge and practical skills, which are necessary for the analysis of stochastic dynamical systems in economics, engineering and other fields. More precisely, the objectives are 1. study of the basic concepts of the theory of stochastic processes; 2. introduction of the most important types of stochastic processes; 3. study of various properties and characteristics of processes; 4. study of the methods for describing and analyzing complex stochastic models. Practical skills, acquired during the study process: 1. understanding the most important types of stochastic processes (Poisson, Markov, Gaussian, Wiener processes and others) and ability of finding the most appropriate process for modelling in particular situations arising in economics, engineering and other fields; 2. understanding the notions of ergodicity, stationarity, stochastic integration; application of these terms in context of financial mathematics; It is assumed that the students are familiar with the basics of probability theory. Knowledge of the basics of mathematical statistics is not required, but it simplifies the understanding of this course. The course provides a necessary theoretical basis for studying other courses in stochastics, such as financial mathematics, quantitative finance, stochastic modeling and the theory of jump - type processes....

人気のレビュー

by ZM

Dec 01, 2018

Well presented course. I enjoyed it and was challenged a great deal. Thank you.

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31件のレビュー

by Zhang Yiyang

May 04, 2019

This is an excellent course and the videos are very good.

by Xinyi Jiang

Apr 28, 2019

The course is good and but strongly recommend not to study without fundamental knowledge of statistics. Having knowledge like Bayesian statistics will be better I think.

by Wei Tie

Apr 25, 2019

It's great for a beginner to learn the basic ideas about stochatic processes.

by maraka dhanavardhan reddy

Apr 10, 2019

nice

by Rishab Kaul

Apr 06, 2019

Loved it.

by mohammadmahdiabdollahpour

Mar 30, 2019

It is a good course on theory side so many nice and neat theorems an proofs but I think there needs to be some sections devoted to demonstrate applications of stochastic processes with detail. there was some of these examples but it can be more and it should exist at least for each week topic expect for some weeks.

by Liam Burne-Johnston

Feb 27, 2019

Very Good

by Chen Ni

Jan 05, 2019

Nice course :) But it takes time to be adopted to the teaching style...

by Harsh Sinha

Jan 04, 2019

Theoretical course , practical examples should be more

by Leandro Silva Pimenta

Dec 29, 2018

The content of the course is excellent and the lectures are very clear. However, there are recurrent errors in the exercises and even in the final exam which have not been corrected.