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Stochastic processes

The purpose of this course is to equip students with theoretical knowledge and practical skills, which are necessary for the analysis of stochastic dynamical systems in economics, engineering and other fields. More precisely, the objectives are 1. study of the basic concepts of the theory of stochastic processes; 2. introduction of the most important types of stochastic processes; 3. study of various properties and characteristics of processes; 4. study of the methods for describing and analyzing complex stochastic models. Practical skills, acquired during the study process: 1. understanding the most important types of stochastic processes (Poisson, Markov, Gaussian, Wiener processes and others) and ability of finding the most appropriate process for modelling in particular situations arising in economics, engineering and other fields; 2. understanding the notions of ergodicity, stationarity, stochastic integration; application of these terms in context of financial mathematics; It is assumed that the students are familiar with the basics of probability theory. Knowledge of the basics of mathematical statistics is not required, but it simplifies the understanding of this course. The course provides a necessary theoretical basis for studying other courses in stochastics, such as financial mathematics, quantitative finance, stochastic modeling and the theory of jump - type processes.

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National Research University Higher School of Economics

Rating 3.5 based on 2 ratings
Length 10 weeks
Effort 8 weeks of study, 6-8 hours per week
Starts Feb 4 (next week)
Cost $49
From National Research University Higher School of Economics via Coursera
Instructor Vladimir Panov
Download Videos On all desktop and mobile devices
Language English
Subjects Mathematics
Tags Math And Logic

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We analyzed reviews for this course to surface learners' thoughts about it

as wasting time in one review

The lecture rash in the material if you are not expert in convergences, sigma algebra, and many intermediate statements of probability it will hard to follow this running,The lecture reread material and do not build intuition, I found this course as wasting time Please, make quiz free

hard to follow in one review

make quiz free in one review

many intermediate statements in one review

statements of probability in one review

expert in convergences in one review

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An overview of related careers and their average salaries in the US. Bars indicate income percentile.

Adjunct professor- Economics $27k

Adjunct Lecturer in Economics $29k

Faculty member - Economics $51k

Economics $65k

Professor of Economics 1 $68k

Route Economics Analyst $94k

Assistant Economics PhD $95k

PhD economics $96k

Economics Major $110k

SIRE Professor of Economics $140k

Department Chair, Economics $148k

Chairman, Department of Economics $350k

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Coursera

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National Research University Higher School of Economics

Rating 3.5 based on 2 ratings
Length 10 weeks
Effort 8 weeks of study, 6-8 hours per week
Starts Feb 4 (next week)
Cost $49
From National Research University Higher School of Economics via Coursera
Instructor Vladimir Panov
Download Videos On all desktop and mobile devices
Language English
Subjects Mathematics
Tags Math And Logic