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4.4

119 Bewertungen

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39 Bewertungen

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: coursera@hse.ru...

May 21, 2019

This course has less number of quiz questions but sufficient and well designed questions.

Dec 01, 2018

Well presented course. I enjoyed it and was challenged a great deal. Thank you.

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von Shyam S

•May 21, 2019

This course has less number of quiz questions but sufficient and well designed questions.

von 周晓迪

•Jul 04, 2019

Excellent Content though quite insufficient if would like to learn comprehensively. Suitable for introduction but sometimes during a lecture it makes me feel confused what we are learning this for, for instance, the queue theory in Poisson part.

von 丁渝洲

•Jul 09, 2019

REALLY NICE CLASS! I HAVE LEARNED SO MUCH! THANK YOU PROFESSOR!

von 韩

•Nov 27, 2018

Please give us the explanation of the exercises, because I don't understand why my answer is wrong.

von Dmitry

•Nov 13, 2018

Nice course but a lot of typos in the slides.

von Leandro S P

•Dec 29, 2018

The content of the course is excellent and the lectures are very clear. However, there are recurrent errors in the exercises and even in the final exam which have not been corrected.

von Stephen F

•Jun 27, 2019

If you are looking to review concepts this course is fine; however, the mathematics surrounding the proofs is hastily presented and skips several steps. I would say the course is taught at a level beyond that of a student enrolled in a Master's in Statistics.

von Luan S d B

•Aug 02, 2019

O curso deveria ter mais exemplos que se encaixam na vida real. A parte teórica foi excelente.

von 周昊晟

•Aug 09, 2019

This course is a very good course to have an extensive view on stochastic process. Although rigorous proofs are not given for some of the theorems, the class is still worth learning.

von Meilu L

•Oct 25, 2018

It is difficult to understand

von Chen N

•Jan 05, 2019

Nice course :) But it takes time to be adopted to the teaching style...

von yash

•Jun 03, 2019

mediocre explanation and lack of exercise.

von Long Y

•Jun 15, 2018

Too many errors in the quiz. It makes students confused about what is asked and why the answer is that. Students keep guessing what the question is asking or what typo the correct answer may have.

von Pengchong L

•Sep 11, 2018

Underdeveloped: Lots of mistakes, lacks of intuition, no explanation whatsoever of quiz questions.

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