To support our site, Class Central may be compensated by some course providers.

Stochastic processes

Higher School of Economics via Coursera

students interested
  • Provider Coursera
  • Subject Economics
  • $ Cost Free Online Course (Audit)
  • Session Upcoming
  • Language English
  • Certificate Paid Certificate Available
  • Effort 6-8 hours a week
  • Start Date
  • Duration 9 weeks long

Taken this course? Share your experience with other students. Write review

Overview

Sign up to Coursera courses for free Learn how

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.

Taught by

Vladimir Panov

Help Center

Most commonly asked questions about Coursera Coursera

Reviews for Coursera's Stochastic processes
Based on 0 reviews

  • 5 star 0%
  • 4 star 0%
  • 3 star 0%
  • 2 star 0%
  • 1 star 0%

Did you take this course? Share your experience with other students.

Write a review

Class Central

Get personalized course recommendations, track subjects and courses with reminders, and more.