Florian Herzog: Catalogue data in Spring Semester 2020

Name Dr. Florian Herzog
E-mailherzog@imrt.mavt.ethz.ch
DepartmentInformation Technology and Electrical Engineering
RelationshipLecturer

NumberTitleECTSHoursLecturers
227-0224-00LStochastic Systems4 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