Stochastic analysis 2019 2020

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Lecturers and Seminarists

Lecturer Naumov Alexey [] T924
Seminarist Samsonov Sergey [] T926

About the course

This page contains materials for Stochastic Analysis course in 2019/2020 year, mandatory one for 1st year master students of Statistical Learning Theory program (HSE and Skoltech).

Telegram group

Chat for course-related discussions in telegram

Grading formula

The final grade consists of 4 components (each is non-negative real number from 0 to 10, without any intermediate rounding) :

  • OHW for the hometasks
  • OMid-term for the midterm exam
  • OExam for the final exam
  • OBonus for the bonus hometask

The formula for the final grade is

  • OFinal = 0.3*OHW + 0.3*OMid-term + 0.4*OExam + 0.1*OBonus

with the usual (arithmetical) rounding rule.



  • To be filled


Midterm will be held on 26.10.2019 at 10:30 in oral form. Each student will receive a theoretical question from the list of questions and a problem. While preparing the answer, any materials (notes, books, laptops, etc) are allowed. After 1 hour of preparation the oral part starts, during the answer using any materials is strictly prohibited. During the answer additional questions on the course may be asked, not necessarily related with the question from exam variant. Examinator could also ask you to solve some more problems on the course topics.

Consultation to midterm

Consultation will take place on 23.10 at 18:00 at room R609


Exam will be held on 21.12.2019 at 10:30 in the following mixed form. First, you will have 1.5 hour to solve 4 problems. During this part you may use any resources (books, notes, laptops, etc). Then the oral part begins: you go to examinator with your solutions and answer some additional questions on the course. You are supposed to answer without preparation, so no proofs are needed. But you need to know the definitions, formulations of main results, and explain the key concepts. The final grade consists of the grade for the problems (20%) and for the oral answer (20%).


Deadline postponed by 1 day, moderate hint added to file HW №3, shameless hint in the separate file

Grades and results

Recommended literature (1st term)

Recommended literature (2nd term)

Additional reading (Lecture from 14.12 and related topics)