Stochastic Processes

Објавено: април 27, 2021

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