Master 2024/2025

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: 1 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

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.