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.
Do you have technical problems? Write to us: coursera@hse.ru...

Sep 14, 2019

This was helpful but I still feel I don't understand stochastic processes. Folks taking this course should know that it's pretty tough, compared to most Coursera courses.

Sep 23, 2019

Great course! The subject material was well covered and it gave me the tools to tackle more advanced stochastic, like population dynamics or quantitative finance.

필터링 기준:

교육 기관: Dariusz

•Jun 20, 2018

Great mathematical formulation!

교육 기관: Zororo M

•Dec 01, 2018

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

교육 기관: Zhang Y

•May 04, 2019

This is an excellent course and the videos are very good.

교육 기관: 周晓迪

•Jul 04, 2019

Excellent Content though quite insufficient if would like to learn comprehensively. Suitable for introduction but sometimes during a lecture it makes me feel confused what we are learning this for, for instance, the queue theory in Poisson part.

교육 기관: 丁渝洲

•Jul 09, 2019

REALLY NICE CLASS! I HAVE LEARNED SO MUCH! THANK YOU PROFESSOR!

교육 기관: Shyam S

•May 21, 2019

This course has less number of quiz questions but sufficient and well designed questions.

교육 기관: Charles R

•Sep 14, 2019

This was helpful but I still feel I don't understand stochastic processes. Folks taking this course should know that it's pretty tough, compared to most Coursera courses.

교육 기관: peng l

•Aug 28, 2019

An excellent course with mathematical concepts and exercises. It will be better if more detailed applications in finance,insurance or other subjects are demonstrated.

교육 기관: julio c M S

•Nov 27, 2019

Excelent course, too many proofs, but I consider that more examples, or real aplication, will give more support to those proofs.

교육 기관: Mirco P

•Dec 04, 2019

Great course

교육 기관: Leandro S P

•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.

교육 기관: Dmitry

•Nov 13, 2018

Nice course but a lot of typos in the slides.

교육 기관: 韩

•Nov 27, 2018

Please give us the explanation of the exercises, because I don't understand why my answer is wrong.

교육 기관: Luan S d B

•Aug 02, 2019

O curso deveria ter mais exemplos que se encaixam na vida real. A parte teórica foi excelente.

교육 기관: 周昊晟

•Aug 09, 2019

This course is a very good course to have an extensive view on stochastic process. Although rigorous proofs are not given for some of the theorems, the class is still worth learning.

교육 기관: Moreno C

•Oct 23, 2019

This is an intense mathematics course which requires a strong previous knowledge of single variable calculus and probability theory.

I have learned a lot and I was happy with the classic theorem/proof teaching style of the instructor.

Nonetheless, I would have found beneficial adding to the rigorous proofs some recitations dedicated to potential applications of the theoretical tools developed during the course.

교육 기관: Chen N

•Jan 05, 2019

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

교육 기관: Meilu L

•Oct 25, 2018

It is difficult to understand

교육 기관: yash

•Jun 03, 2019

mediocre explanation and lack of exercise.

교육 기관: Long Y

•Jun 15, 2018

Too many errors in the quiz. It makes students confused about what is asked and why the answer is that. Students keep guessing what the question is asking or what typo the correct answer may have.