Stochastic analysis 2020 2021

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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 2020/2021 year, mandatory one for 1st year master students of Statistical Learning Theory program (HSE and Skoltech).

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

The formula for the final grade is

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

with the usual (arithmetical) rounding rule.

Lectures

Seminars

  • To be filled

Midterm

Exam

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%).

Hometasks


Deadline postponed by 1 day

Grades and results

Recommended literature (1st term)

Recommended literature (2nd term)

Additional reading (Lecture from 14.12 and related topics)