227-0224-00L  Stochastic Systems

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


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