Florian Herzog: Katalogdaten im Frühjahrssemester 2020 |
| Name | Herr Dr. Florian Herzog |
| Departement | Informationstechnologie und Elektrotechnik |
| Beziehung | Dozent |
| Nummer | Titel | ECTS | Umfang | Dozierende | |
|---|---|---|---|---|---|
| 227-0224-00L | Stochastic Systems | 4 KP | 2V + 1U | F. Herzog | |
| Kurzbeschreibung | Probability. Stochastic processes. Stochastic differential equations. Ito. Kalman filters. St Stochastic optimal control. Applications in financial engineering. | ||||
| Lernziel | Stochastic dynamic systems. Optimal control and filtering of stochastic systems. Examples in technology and finance. | ||||
| Inhalt | - Stochastic processes - Stochastic calculus (Ito) - Stochastic differential equations - Discrete time stochastic difference equations - Stochastic processes AR, MA, ARMA, ARMAX, GARCH - Kalman filter - Stochastic optimal control - Applications in finance and engineering | ||||
| Skript | H. P. Geering et al., Stochastic Systems, Measurement and Control Laboratory, 2007 and handouts | ||||