Stochastic Processes

2022/2023

Academic Year

RUS

Instruction in Russian

6

ECTS credits

Delivered at:

Department of Statistics and Data Analysis

Course type:

Elective course

When:

4 year, 1, 2 module

Instructor

Panov, Vladimir

Программа дисциплины

Аннотация

The course on stochastic processes is aimed at students who are familiar with the basics of probability theory and who want to learn the basic concepts, theoretical facts and practical methods of working with random variables changing over time. Such quantities arise naturally in many applied fields while trying to describe objects whose behavior is influenced by a large number of factors that cannot be described by deterministic functions. The main objectives of the course are to introduce students to the most important types of random processes (Gaussian and Markov processes, Brownian motion, renewal processes, etc.) and mastering the basic methods of analysis and modeling of stochastic processes.