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151-0570-00L 4 Credits DR , MSC D-USYS , D-BAUG , D-MAVT , D-INFK , D-MTEC , D-MATH , D-BIOL , D-ERDW , D-GESS , D-ITET , D-CHAB

Stochastic Systems

Stochastische Systeme

Lecturers & Examiners: Prof. Dr. Raffaello D'Andrea, Dr. Florian Herzog, Dr. Gabriel Arnon Dondi
VVZ CR n/a

Last Updated: 2026-02-05 15:29:51

Abstract

Probability. Stochastic processes. Stochastic differential equations. Ito. Kalman filters. Stochastic optimal control. Applications in financial engineering (asset and liability management).

Objective

Stochastic dynamic systems. Optimal control of stochastic systems. Examples in technology and finance.

Content

- Stochastic processes - Stochastic calculus (Ito) - Stochastic differential equations - Kalman filter - Stochastic optimal control - Applications in finance

Resources

Lecture Notes

H. P. Geering et al., Stochastic Systems, Measurement and Control Laboratory, ETH Zurich, 2004

General Information

Language
English
Levels
DR , MSC
Frequency
Yearly recurring

Examination

Type
session examination
Mode
oral 30 minutes
The examination can be in English or German

Course Components

Type Title Time & Place Hours
lecture Stochastische Systeme
  • Fri 13:15-15:00 (CAB H 52)
2 h weekly
exercise Stochastische Systeme
  • Fri 15:15-16:00 (CAB H 52)
1 h weekly

Offered In