312.180 (22S) Stochastic Processes
Overview
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- Lecturer
- Course title german Stochastic Processes
- Type Lecture
- Course model Attendance-based course
- Hours per Week 2.0
- ECTS credits 3.0
- Registrations 16
- Organisational unit
- Language of instruction English
- Course begins on 03.03.2022
- eLearning Go to Moodle course
Time and place
Course Information
Intended learning outcomes
The students should know Markov chains.
The students should be able to define a stochastic process.
The students should understand martingales.
The students should know Brownian motion and properties thereof.
The students should know Poisson processes and compound Poisson processes.
The students should be able to simulate paths of certain stochastic processes.
Teaching methodology
Lecture with virtual blackboard and examples
Course content
Markov chains
Definitions
Martingales
Brownian motion
Poisson process
Compound Poisson process
Simulation of stochastic processes
Prior knowledge expected
Stochastics 2
Literature
Lecture notes available
Examination information
Examination methodology
There will be a written final exam taking place offline at the university.
Examination topic(s)
Everything that is covered in the lecture.
If additional reading is required for the lecture, this will be clearly announced in the lecture.
Assessment criteria / Standards of assessment for examinations
The mark depends only on the number of points the student achieves at the final exam.
The point scheme is as follows:
[100 , 87.5] P. -> 1
(87.5 , 75] P. -> 2
(75 , 62.5] P. -> 3
(62.5 , 50] P. -> 4
(50 , 0] P. -> 5
Grading scheme
Grade / Grade grading schemePosition in the curriculum
- Thematic Doctoral Programme Modeling-Analysis-Optimization of discrete, continuous and stochastic systems
(SKZ: ---, Version: 16W.1)
-
Subject: Modeling-Analysis-Optimization of discrete, continuous and stochastic systems
(Compulsory subject)
-
Modeling-Analysis - Optimization of discrete, continuous and stochastic systems (
0.0h XX / 0.0 ECTS)
- 312.180 Stochastic Processes (2.0h VO / 3.0 ECTS)
-
Modeling-Analysis - Optimization of discrete, continuous and stochastic systems (
0.0h XX / 0.0 ECTS)
-
Subject: Modeling-Analysis-Optimization of discrete, continuous and stochastic systems
(Compulsory subject)
- Masterstudium Mathematics
(SKZ: 401, Version: 18W.1)
-
Subject: Statistics
(Compulsory subject)
-
3.2 Stochastic Processes (
2.0h VO / 3.0 ECTS)
- 312.180 Stochastic Processes (2.0h VO / 3.0 ECTS)
-
3.2 Stochastic Processes (
2.0h VO / 3.0 ECTS)
-
Subject: Statistics
(Compulsory subject)
- Doctoral programme Doctoral programme in Technical Sciences
(SKZ: 786, Version: 12W.4)
-
Subject: Studienleistungen gem. § 3 Abs. 2a des Curriculums
(Compulsory subject)
-
Studienleistungen gem. § 3 Abs. 2a des Curriculums (
16.0h XX / 32.0 ECTS)
- 312.180 Stochastic Processes (2.0h VO / 3.0 ECTS)
-
Studienleistungen gem. § 3 Abs. 2a des Curriculums (
16.0h XX / 32.0 ECTS)
-
Subject: Studienleistungen gem. § 3 Abs. 2a des Curriculums
(Compulsory subject)
Equivalent courses for counting the examination attempts
-
Sommersemester 2024
- 312.180 VO Stochastic Processes (2.0h / 3.0ECTS)
-
Sommersemester 2023
- 312.180 VO Stochastic Processes (2.0h / 3.0ECTS)
-
Sommersemester 2021
- 312.180 VO Stochastic Processes (2.0h / 3.0ECTS)
-
Sommersemester 2020
- 312.180 VO Stochastic Processes (2.0h / 3.0ECTS)
-
Sommersemester 2019
- 312.180 VO Stochastic Processes (2.0h / 3.0ECTS)