227-0224-00L  Stochastic Systems

Semester Spring Semester 2017
Lecturers F. Herzog
Periodicity yearly course
Language of instruction English

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
Course attendance confirmation required No
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

Main link Information
Only public learning materials are listed.


Number Title Hours Lecturers
227-0224-00 V Stochastic Systems 2 hrs
Tue 10-12 ML F 38 »
F. Herzog
227-0224-00 U Stochastic Systems 1 hrs
Tue 12-13 ML F 38 »
F. Herzog


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Offered in

Programme Section Type
Doctoral Department of Mechanical and Process Engineering Doctoral and Post-Doctoral Courses W Information
Electrical Engineering and Information Technology Master Core Subjects W Information
Mechanical Engineering Master Robotics, Systems and Control W Information
Mathematics Master Control and Automation W Information
Quantitative Finance Master Mathematical Methods for Finance W Information
Computational Science and Engineering Master Systems and Control W Information
Robotics, Systems and Control Master Core Courses W Information