Florian Herzog: Catalogue data in Spring Semester 2017

Name Dr. Florian Herzog
Address
Höhenring 63
8052 Zürich
SWITZERLAND
Telephone044 493 00 37
E-mailherzog@imrt.mavt.ethz.ch
DepartmentInformation Technology and Electrical Engineering
RelationshipLecturer

NumberTitleECTSHoursLecturers
227-0224-00LStochastic Systems Information 4 credits2V + 1UF. Herzog
AbstractProbability. Stochastic processes. Stochastic differential equations. Ito. Kalman filters. St Stochastic optimal control. Applications in financial engineering.
ObjectiveStochastic dynamic systems. Optimal control and filtering of stochastic systems. Examples in technology and finance.
Content- 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
Lecture notesH. P. Geering et al., Stochastic Systems, Measurement and Control Laboratory, 2007 and handouts