227-0224-00L Stochastic Systems
Semester | Spring Semester 2019 |
Lecturers | |
Periodicity | yearly recurring course |
Course | Does not take place this semester. |
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 |