Course: Stochastic Processes
Code: 3ФЕИТ08028A
ECTS points: 6 ECTS
Number of classes per week: 3+0+0+3
Lecturers: Dr. Aneta Buchkovska
Course Goals (acquired competencies): Enabling written communication, problem solving, ability to analyze and synthesize, problem solving, critical ability and learning ability in the field of stochastic processes.
Course Syllabus: Definition and classification of stochastic processes. Characteristics of stochastic processes: mathematical expectation, correlation function, dispersion. Linear transformation of the stochastic process. Continuity, differentiation and integration of a stochastic process. Canonical decomposition of the process. Stationary stochastic processes. Chains on Markov. Mark Processes. Marking jumping processes. Poisson and Wiener process. White noise. Time series analysis. An introduction to Monte Carlo simulation of a stochastic process.
Literature:
| Required Literature | ||||
| No. | Author | Title | Publisher | Year |
| 1 | Sheldon M. Ross | Stochastic processes | John Wiley& Sons | 1996 |
| 2 | S. I. Resnick | Adventures in Stochastic Processes | Birkhäuser, Basel | 1992 |
| Additional Literature | ||||
| No. | Author | Title | Publisher | Year |
| 1 | D. Lamberton, B. Lapeyre | Introduction to stochastic calculus applied to finance | Chapmann & Hall | 1996 |
