Florian Herzog: Katalogdaten im Frühjahrssemester 2017

NameHerr Dr. Florian Herzog
DepartementInformationstechnologie und Elektrotechnik
BeziehungDozent

NummerTitelECTSUmfangDozierende
227-0224-00LStochastic Systems Information 4 KP2V + 1UF. Herzog
KurzbeschreibungProbability. Stochastic processes. Stochastic differential equations. Ito. Kalman filters. St Stochastic optimal control. Applications in financial engineering.
LernzielStochastic dynamic systems. Optimal control and filtering of stochastic systems. Examples in technology and finance.
Inhalt- Stochastic processes
- Stochastic calculus (Ito)
- Stochastic differential equations
- Discrete time stochastic difference equations
- Stochastic processes AR, MA, ARMA, ARMAX, GARCH
- Kalman filter
- Stochastic optimal control
- Applications in finance and engineering
SkriptH. P. Geering et al., Stochastic Systems, Measurement and Control Laboratory, 2007 and handouts