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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. Do you have technical problems? Write to us: [email protected]

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Rating 4.0 based on 36 ratings
Length 10 weeks
Effort 8 weeks of study, 6-8 hours per week
Starts Oct 12 (last 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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What people are saying

stochastic processes

It is a good course on theory side so many nice and neat theorems an proofs but I think there needs to be some sections devoted to demonstrate applications of stochastic processes with detail.

I liked this course more than the one I had in my university because it gave me intuition about stochastic processes and a basic framework using which I can now solve real-world problems.

After completion I feel that I significantly improved both my knowledge and understanding of stochastic processes and probability theory.

I highly recommend this course to any students who are seeking to improve their understanding of stochastic processes and probability theory or for strengthening their understanding of other fields of statistics that are based on time dependence like time series analysis.

Stochastic Processes II) to expand on concepts for quantitative finance.

In particular, it was nice to connect my lay man notions of some well-known stochastic processes with their precise definitions.

This course is a good introduction to the theory of stochastic processes.Lecturer explains theory pretty clearly.Sometimes misprints occurs in quizes, but they are not so critical.

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probability theory

Very good for initial introduction into Stochastic processes for people already familiar with probability theory.

found it

It is a difficult course and covers a lot of material but I found it to be a very well developed and well-presented course.

No software is needed though I found it helpful to simulate some processes to see how they worked or to do equation solving but it is not required.

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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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Rating 4.0 based on 36 ratings
Length 10 weeks
Effort 8 weeks of study, 6-8 hours per week
Starts Oct 12 (last 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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