Stochastic analysis 2020 2021 — различия между версиями

Версия 20:15, 26 сентября 2020

Lecturers and Seminarists

About the course

This page contains materials for Stochastic Analysis course in 2020/2021 year, mandatory one for 1st year Master students of the 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 and Seminars

• Lecture 05.09
• Lecture 12.09
• Lecture 19.09
• Lecture-Seminar 26.09, part 1 (Martingales)
• Lecture-Seminar 26.09, part 2 (Wiener process)

Midterm

Recommended literature (1st term)

• http://www.statslab.cam.ac.uk/~james/Markov/ - Cambridge lecture notes on discrete-time Markov Chains
• https://link.springer.com/book/10.1007%2F978-3-319-97704-1 - book by E. Moulines et al, you are mostly interested in chapters 1,2,7 and 9 (book is accessible for download through HSE network)
• https://link.springer.com/book/10.1007%2F978-3-319-62226-2 - Stochastic Calculus by P. Baldi, good overview of conditional probabilities and expectations (part 4, also accessible through HSE network)
• https://link.springer.com/book/10.1007%2F978-1-4419-9634-3 - Probability for Statistics and Machine Learning by A. Dasgupta, chapter 19 (MCMC), also accessible through HSE network