Stochastic Processes

Објавено: February 28, 2019

Stochastic Processes

Course: Stochastic Processes

Code: 3ФЕИТ08028

ECTS points: 6 ЕКТС

Number of classes per week: 3+0+0+3

Lecturer: Prof. 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. RossStochastic ProcessesJohn Wiley& Sons1996

2

S. I. ResnickAdventures in Stochastic ProcessesBirkhäuser, Basel1992

Additional Literature

No.

Author

Title

Publisher

Year

1

D. Lamberton, B. LapeyreIntroduction to stochastic calculus applied to financeChapmann & Hall1996