Stochastic Processes and Filters

Course Description

Stationary processes. Stochastic integral. Ergodic theorems. Brownian motion. White noise. Martingals. Stopping times. Stochastic diffusion. Stochastic calculus. Ito's integral. Deterministic and stochastic dynamic systems. Prediction and filtering. Wiener filter. Kalman filter. Optimal smoothers. Nonlinear filtering.

Study Programmes

Post-graduation study

Lecturers in Charge

Prof. dr. sc.
Neven Elezović
Izv. prof. dr. sc.
Igor Velčić

Grading System

ID 11533
  Summer semester
6 ECTS