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
Postgraduate doctoral study programme
Literature
Lecturers
For students
General
ID 154760
Summer semester
6 ECTS
L0 English Level