Florian Herzog: Catalogue data in Spring Semester 2020 |
Name | Dr. Florian Herzog |
Department | Information Technology and Electrical Engineering |
Relationship | Lecturer |
Number | Title | ECTS | Hours | Lecturers | |
---|---|---|---|---|---|
227-0224-00L | Stochastic Systems | 4 credits | 2V + 1U | F. Herzog | |
Abstract | Probability. Stochastic processes. Stochastic differential equations. Ito. Kalman filters. St Stochastic optimal control. Applications in financial engineering. | ||||
Learning objective | Stochastic dynamic systems. Optimal control and filtering of stochastic systems. Examples in technology and finance. | ||||
Content | - 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 | ||||
Lecture notes | H. P. Geering et al., Stochastic Systems, Measurement and Control Laboratory, 2007 and handouts |