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Applied Stochastic Processes

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Check in the VVZ for a current information.
Lecturer Prof. Christoph Frei
Lecture Tuesday

Wednesday

08-10 (starting 19-Feb)

08-10 (every other week, starting 20-Feb)

HG G 3 

HG E 3 

Coordinator Edgars Jakobsons
Exercises Wednesday 08-10 (every other week, starting 27-Feb)
 

Lecture notes

Most recent version available here (login required).

Assistant hours

During the semester office hours are held on Mondays and Thursdays at 12:00-13:00 in HG G 32.6.

There will also be pre-exam office hours on July 18, 22, 25 and 29 at 13:00-14:30 in HG G 32.6.

For more information, click here.

Course description

This course gives an introduction to the modelling of random phenomena in time. Randomly developing systems are described mathematically by stochastic processes indexed by a scalar parameter interpreted as time. The goal of this course is to introduce important classes of stochastic processes, to study their properties and to present examples in which these processes frequently occur in applications.

Topics

Prerequisites

It is expected that students are familiar with (measure-theoretic) probability theory as taught in the standard course "Wahrscheinlichkeitstheorie". Lecture notes for the latter course (in German) can be bought during Question times (“Präsenz”) at a price of 15 CHF.

Examination details

Exercise classes

Details of the exercise classes can be found here.

References

(Links are accessible through the subscription of ETH)

 

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© 2016 Mathematics Department | Imprint | Disclaimer | 26 May 2013
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