227-0224-00L Stochastic Systems
Semester | Frühjahrssemester 2018 |
Dozierende | F. Herzog |
Periodizität | jährlich wiederkehrende Veranstaltung |
Lehrsprache | Englisch |
Kurzbeschreibung | Probability. Stochastic processes. Stochastic differential equations. Ito. Kalman filters. St Stochastic optimal control. Applications in financial engineering. |
Lernziel | Stochastic 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 |
Skript | H. P. Geering et al., Stochastic Systems, Measurement and Control Laboratory, 2007 and handouts |