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STOCHASTIC PROCESSES AND FILTERS
Code: 11533
ECTS: 6
Lecturers in charge: prof. dr. sc. Neven Elezović
izv. prof. dr. sc. Igor Velčić
English level:

1,1,1

All teaching activities in the course will be held on English. This level includes courses with multiple groups (i.e., all teaching will be held strictly in Croatian for Croatian groups, and strictly in English for English groups).
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.
Literature:
  1. Moohinder S. Grewal., Angus P. Andrews: Kalman filtering (theory and practice using MATLAB)
  2. A. Papoulis: Probability, random variables and stochastic processes, McGraw-Hill, Third Edition
  3. F. Beichelt: Stochastic Processes in Science, Engineering and Finance, Chapman & Hall, 2006.
Consultations schedule:
NEWS
FORUM
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