Stochastic analysis 2019 2020

Lecturers and Seminarists

Lecturer	Naumov Alexey	[anaumov@hse.ru]	T924
Seminarist	Samsonov Sergey	[svsamsonov@hse.ru]	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).

Grading formula

The final grade consists of 3 components (each is non-negative real number from 0 to 10, without any intermediate rounding) :

• O_HW for the hometasks
• O_Mid-term for the midterm exam
• O_Exam for the final exam

The formula for the final grade is

• O_Final = 0.3*O_HW + 0.3*O_Mid-term + 0.4*O_Exam

with the usual (arithmetical) rounding rule.

Lectures

• Lecture 07.09
• Lecture 21.09
• Lecture 28.09
• Lecture 05.10
• Lecture 12.10
• MCMC-demo

Seminars

• To be filled

Midterm

Midterm will be held on 26.10.2019 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 sources of information 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.

• List of questions

Hometasks

• Homework № 1, deadline - 12.10.2019, 23:59

Grades and results

• To be filled

Recommended literature

• To be filled