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).
Lectures take place each Tuesday from 10:15 to 13:00 in ML H 44. These will be recorded and uploaded here. The password will be sent via email to all registered students. The first lecture will take place on the 18th of February.
Exercise classes take place on Wednesdays or Thursdays as indicated below. The enrolment takes place via mystudies. The first exercise classes will be on the 19th and 20th of February. Exercise classes will not be recorded.
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.
The slides from the first lecture covering organisational matters can be found here.
The course is structured around the following Lecture Notes, which may be revised throughout the semester.
Additionally, here are the introductory slides used in the first lecture.
The assistants of Group 3 (Probability Theory, Insurance Mathematics and Stochastic Finance) offer regular office hours for questions on courses and exercise classes taught by the professors in the group.
During the semester, the assistant hours take place Mondays and Thursdays, 12:00–13:00, in room HG G 32.6. The regular assistant hours start in the fourth week of the semester. Click here for more information.
| Time | Location | Assistant |
|---|---|---|
| Wednesday, 13:15-14:00 | ML H 41.1 | Mateo Rodriguez Polo |
| Thursday, 12:15-13:00 | HG G 26.5 | Ritvik Radhakrishnan |
The new exercises will be posted here every week on Tuesday after the lecture class. We recommend to look at the problems and try to solve the quiz before the exercise classes on Wednesday or Thursday.
You are welcome to submit your solutions, even though it is not oligatory. In case you decide to submit your solutions, you can upload your solutions as a single PDF file named {email address}_{assignment number in two digit format}.pdf (e.g. akolmogorov@student.ethz.ch_01.pdf) using this link. They will be returned marked via e-mail. Registered students will receive the required password via email.
| Exercise sheet | Due by | Solutions |
|---|---|---|
| Exercise Sheet 1 | February 25 | Solution 1 |
| Exercise Sheet 2 | March 4 | Solution 2 |
| Exercise Sheet 3 | March 11 | |
| Exercise Sheet 4 | March 18 |