227-0224-00L
Stochastic Systems
Semester | Spring Semester 2020 |
Lecturers | F. Herzog |
Periodicity | yearly recurring course |
Language of instruction | English |
Courses
Number | Title | Hours | | Lecturers |
---|
227-0224-00 V | Stochastic Systems | 2 hrs | | F. Herzog |
227-0224-00 U | Stochastic Systems | 1 hrs | | F. Herzog |
Catalogue data
Abstract | Probability. Stochastic processes. Stochastic differential equations. Ito. Kalman filters. St Stochastic optimal control. Applications in financial engineering. |
Objective | Stochastic 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 notes | H. P. Geering et al., Stochastic Systems, Measurement and Control Laboratory, 2007 and handouts |
Performance assessment
Performance assessment information (valid until the course unit is held again) |
Performance assessment as a semester course |
ECTS credits | 4 credits |
Examiners | F. Herzog |
Type | session examination |
Language of examination | English |
Repetition | The performance assessment is offered every session. Repetition possible without re-enrolling for the course unit. |
Mode of examination | written 120 minutes |
Additional information on mode of examination | The examination can be in English or German |
Written aids | Skript und Vorlesungsfolien |
This information can be updated until the beginning of the semester; information on the examination timetable is binding. |
Learning materials
No public learning materials available. |
Only public learning materials are listed. |
Groups
No information on groups available. |
Restrictions
There are no additional restrictions for the registration. |
Offered in