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Processus stochastiques, Université nationale de recherche, École des hautes études en sciences économiques

90 notes
28 avis

À propos de ce cours

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....

Meilleurs avis

par ZM

Dec 01, 2018

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

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28 avis

par maraka dhanavardhan reddy

Apr 10, 2019


par Rishab Kaul

Apr 06, 2019

Loved it.

par mohammadmahdiabdollahpour

Mar 30, 2019

It is a good course on theory side so many nice and neat theorems an proofs but I think there needs to be some sections devoted to demonstrate applications of stochastic processes with detail. there was some of these examples but it can be more and it should exist at least for each week topic expect for some weeks.

par Liam Burne-Johnston

Feb 27, 2019

Very Good


Jan 05, 2019

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

par Harsh Sinha

Jan 04, 2019

Theoretical course , practical examples should be more

par Leandro Silva Pimenta

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.

par Dmitry Zotikov

Dec 25, 2018

The course is remarkable in that it encompasses a wide range of topics and delivers them in a structured and accessible way with virtually no effect on mathematical rigour. I liked this course more than the one I had in my university because it gave me intuition about stochastic processes and a basic framework using which I can now solve real-world problems. I would appreciate more practical tasks and more active forum discussions though.

par 贺瑞麟

Dec 14, 2018

tres bon

par Zororo Makumbe

Dec 01, 2018

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