Stochastic analysis 2021 2022

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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 2021/2022 year, mandatory one for 1st year Master students of the Statistical Learning Theory program (HSE and Skoltech).


The final grade consists of 3 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 + 0.1*OBonus HW

with the usual (arithmetical) rounding rule.

Table with grades

Lectures and Seminars




Midterm will take place on Saturday, 07.11.2020, at 11:10. You are allowed to use your lectures and seminar notes, or any other notes or books, but NOT the laptops, mobile phones and other devices. Midterm will take 1.5 hours and it will contain 6 problems. Solving any 5 of them will give you the maximal grade.

Recommended literature (1st term)