Week 2.1: Definition of a Poisson process as a special example of renewal process. Exact forms of the distributions of the renewal process and the counting process-1

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En provenance du cours de National Research University Higher School of Economics

Stochastic processes

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National Research University Higher School of Economics

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.

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Week 2: Poisson Processes

Upon completing this week, the learner will be able to understand the definitions and main properties of Poisson processes of different types and apply these processes to various real-life tasks, for instance, to model customer activity in marketing and to model aggregated claim sizes in insurance; understand a relation of this kind of models to Queueing Theory