227-0224-00L  Stochastic Systems

SemesterSpring Semester 2017
LecturersF. Herzog
Periodicityyearly recurring course
Language of instructionEnglish



Courses

NumberTitleHoursLecturers
227-0224-00 VStochastic Systems2 hrs
Tue10:15-12:00ML F 38 »
F. Herzog
227-0224-00 UStochastic Systems1 hrs
Tue12:15-13:00ML F 38 »
F. Herzog

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

 
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Offered in

ProgrammeSectionType
Doctoral Department of Mechanical and Process EngineeringDoctoral and Post-Doctoral CoursesWInformation
Electrical Engineering and Information Technology MasterCore SubjectsWInformation
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