Stochastic Processes and Filters
Data is displayed for academic year: 2023./2024.
Lecturers
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
Postgraduate doctoral study programme
Literature
For students
General
ID 154760
Summer semester
6 ECTS
L0 English Level