Master
2023/2024
Stochastic Processes
Type:
Elective course (Statistical Analysis in Economics)
Area of studies:
Economics
Delivered by:
Department of Statistics and Data Analysis
Where:
Faculty of Economic Sciences
When:
2 year, 3 module
Mode of studies:
distance learning
Online hours:
32
Open to:
students of all HSE University campuses
Instructors:
Vladimir Panov
Master’s programme:
Statistical Analysis in Economics
Language:
English
ECTS credits:
3
Contact hours:
6
Course Syllabus
Abstract
The course on stochastic processes is aimed at students who are familiar with the basics of probability theory and who want to learn the basic concepts, theoretical facts and practical methods of working with random variables changing over time. Such quantities arise naturally in many applied fields while trying to describe objects whose behavior is influenced by a large number of factors that cannot be described by deterministic functions. The main objectives of the course are to introduce students to the most important types of random processes (Gaussian and Markov processes, Brownian motion, renewal processes, etc.) and mastering the basic methods of analysis and modeling of stochastic processes.