Stochastic processes are a way to describe and study the behaviour of systems that evolve in some random way. In this course, the evolution will mostly be with respect to a scalar parameter interpreted as time, so that we discuss the temporal evolution of the system. We introduce several important classes of stochastic processes, analyse their properties and behaviour and show by some examples how they can be used. The main emphasis is on theory; in that sense, "applied" should be understood to mean "applicable".
Outline of the course:
Prerequisites are familiarity with (measure-theoretic) probability theory as it is treated in the course "Probability Theory" (401-3601-00L).
Lecture notes will be regularly updated.
You can also find the lecture notes by Prof. Sznitman (spring semester 2017) here.
Lectures take place online via Zoom each Tuesday from 09:15 to 12:00. Exercise classes also take place online via Zoom on Thursdays as indicated below. The Zoom links have been communicated by email to registered students. If you are a registered student and you need the link to be sent again, you can contact the coordinator of the course.
If you have any questions related to the content of the lectures or the exercises, you are very welcome to ask them on the forum.
Even though we recommend to attend the lectures live, recordings will be made available on the ETH video portal. The login details have been sent to all registered students by email. Please note that exercise classes will not be recorded to keep an interactive atmosphere and encourage spontaneous questions and discussions.
The new exercises will be posted here every week on Wednesday. We recommend to look at the problems and prepare some questions before the exercise classes on Thursday.
|Exercise sheet 1
|Exercise sheet 2
|Exercise sheet 3
|Exercise sheet 4
|Exercise sheet 5
|Exercise sheet 6
|Exercise sheet 7
|Exercise sheet 8
|Exercise sheet 9
|Exercise sheet 10
|Exercise sheet 11
|Exercise sheet 12
|Exercise sheet 13
|Exercise sheet 14
You are welcome to submit your solutions, even though it is not oligatory. In case you decide to submit your solutions, this needs to be done before 18:00 of the corresponding due date (typically on Monday). Your solutions will then be corrected and returned by e-mail. Please follow the instructions below.
First exercise class: Thursday, February 25
Enrollment and hand-in: The enrollment to the exercise classes by surname (see below) is binding for the submission of your solutions, but not for your attendance. This means that you can attend the exercise class that fits best with your schedule, but you need to submit your solutions according to your surname.
Time and location: