227-0224-00L  Stochastic Systems

SemesterSpring Semester 2021
Lecturersto be announced
Periodicityyearly recurring course
CourseDoes not take place this semester.
Language of instructionEnglish



Courses

NumberTitleHoursLecturers
227-0224-00 VStochastic Systems
Does not take place this semester.
Will be offered again in 2022.
2 hrsto be announced
227-0224-00 UStochastic Systems
Does not take place this semester.
Will be offered again in 2022.
1 hrsto be announced

Catalogue data

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

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits4 credits
ExaminersF. Herzog
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is offered every session. Repetition possible without re-enrolling for the course unit.
Mode of examinationwritten 120 minutes
Additional information on mode of examinationThe examination can be in English or German
Written aidsSkript 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.

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Offered in

ProgrammeSectionType
Data Science MasterCore ElectivesWInformation
Doctoral Department of Mechanical and Process EngineeringDoctoral and Post-Doctoral CoursesWInformation
Electrical Engineering and Information Technology MasterCore SubjectsWInformation
Electrical Engineering and Information Technology MasterAdvanced Core CoursesWInformation
Mechanical Engineering MasterRobotics, Systems and ControlWInformation
Mathematics MasterControl and AutomationWInformation
Quantitative Finance MasterMathematical Methods for FinanceWInformation
Computational Science and Engineering MasterSystems and ControlWInformation
Robotics, Systems and Control MasterCore CoursesWInformation