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.

Apr 16, 2020

Vladimir did a wonderful job. Your course is too good. Request to add more practical problems.

필터링 기준:

교육 기관: Shyam S

•May 21, 2019

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

교육 기관: Zororo M

•Dec 01, 2018

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

교육 기관: Harry A H

•May 25, 2020

Excellent course, maybe too ambitious to discuss so many things in one course.

교육 기관: Amir B

•May 18, 2020

It was a great course but could be better with more practice problems

교육 기관: 丁渝洲

•Jul 09, 2019

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

교육 기관: Zhang Y

•May 04, 2019

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

교육 기관: Juan P U M

•Jan 12, 2020

Excellent course. Challenging and enriching.

교육 기관: shishir

•Apr 19, 2020

Rigorous. Mr Panov is very good!

교육 기관: Dariusz

•Jun 20, 2018

Great mathematical formulation!

교육 기관: Troy W

•May 02, 2018

Please, make quiz free

교육 기관: Daniel H M

•Jun 09, 2018

Really recommendable.

교육 기관: Yifan G

•Jan 13, 2020

太难了！TOO DIFFICULT

교육 기관: KONSTANTINOS C T

•Jun 25, 2018

amazing course

교육 기관: Mirco P

•Dec 04, 2019

Great course

교육 기관: Rishab K

•Apr 06, 2019

Loved it.

교육 기관: Liam B

•Feb 27, 2019

Very Good

교육 기관: 贺瑞麟

•Dec 14, 2018

tres bon

교육 기관: maraka d r

•Apr 10, 2019

nice

교육 기관: Jonathan

•Jan 15, 2020

This was a good class, but it is probably a bit unique among a lot of the options you have in Coursera.

General Overview:

This class is ENTIRELY about the formal mathematical principles surrounding a very specific, niche academic topic. You won't need to touch a computer to do any of the assignments, and the course material is entirely comprised of mathematically formulating a bunch of different concepts.

Best Parts:

In terms of subject material, this is without a doubt one of the most unique classes on Coursera. It covers a variety of unique concepts that I don't think are covered anywhere else, and by the time you're finished you're covering material that is very differentiated. There's really not a lot of coverage anywhere about something like a Levy Process........this is the exact kind of thing you'd probably have to go to graduate school in order to get exposure to, and for a lot of the material covered, many of the top google links about my queries were the lecture videos I was watching about the topic at hand.

This class is very useful for refining your mathematical pedigree. If you feel like you're weak on on formal math and are trying to bootstrap your own knowledge on quantitative topics, there are probably few better resources than a class like this.

Worst Parts:

There is basically no attempt to go into useful, practical applications of the material covered. None of the examples given in class are concrete, and basically everything is covered at the level of derivatives and integrals on a whiteboard. After 8 weeks I still wouldn't have much of an idea about how to actually implement most of the things covered in class.

I DO have some useful memory pointers about the formal theory behind a lot of interesting things that I didn't have before, but if I actually wanted to model insurance claims according to a compound poisson process I don't think I'd know where to start.

There is no attempt to simplify the material, and a good amount of background knowledge is assumed in the coverage of class material. So be prepared to do some additional work on your own if you want to be able to fully understand the contents of the material.

Overall, I found this to be a unique class with certain benefits I don't think I would find anywhere else on the internet. And while it is very particular in what it does and doesn't do for you, I found it to be a worthwhile endeavor and enjoyed the chance to engage with its material.

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: 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: 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: Luis M

•Feb 17, 2020

The course was really good but some pdf with detailed problems or some videos with tangible examples could have made it perfect.

교육 기관: Aditi M

•Mar 11, 2020

Course was outlined very well. Basic definitions with examples and important theorems were covered efficiently.

교육 기관: 韩

•Nov 27, 2018

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