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227-0224-00L 4 Credits DR , MSC D-ITET , D-MATH , D-MAVT , D-INFK

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Stochastic Systems

Lecturers & Examiners: Dr. Florian Herzog

VVZ CR n/a

Last Updated: 2026-02-05 15:42:01

Abstract

Probability. Stochastic processes. Stochastic differential equations. Ito. Kalman filters. St Stochastic optimal control. Applications in financial engineering.

Objective

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

Content

- Stochastic processes - Stochastic calculus (Ito) - Stochastic differential equations - Discrete time stochastic difference equations - Stochastic processes AR, MA, ARMA, ARMAX, GARCH - Kalman filter - Stochastic optimal control - Applications in finance and engineering

Resources

Lecture Notes

H. P. Geering et al., Stochastic Systems, Measurement and Control Laboratory, 2007 and handouts

General Information

Language: English
Levels: DR , MSC
Frequency: Yearly recurring

Examination

Type: session examination
Mode: written 120 minutes
Aids: Skript und Vorlesungsfolien

The examination can be in English or German

Course Components

Type	Title	Time & Place	Hours
lecture	Stochastic Systems	Tue 10:15-12:00 (ML F 38)	2 h weekly
exercise	Stochastic Systems	Tue 12:15-13:00 (ML F 38)	1 h weekly

Offered In

Mechanical Engineering Master
- Core Courses
  - Robotics, Systems and Control (The courses listed in this category “Core Courses” are recommended. Alternative courses can be chosen in agreement with the tutor. .)
Computational Science and Engineering Master
- Fields of Specialization
  - Systems and Control
Mathematics Master
- Application Area (Only necessary and eligible for the Master degree in Applied Mathematics. One of the application areas specified must be selected for the category Application Area for the Master degree in Applied Mathematics. At least 8 credits are required in the chosen application area.)
  - Control and Automation
Electrical Engineering and Information Technology Master
- Master Studies (Programme Regulations 2018)
  - Systems and Control (The core courses and specialization courses below are a selection for students who wish to specialize in the area of "Systems and Control", see . The individual study plan is subject to the tutor's approval.)
    - Core Courses (These core courses are particularly recommended for the field of "Systems and Control". You may choose core courses form other fields in agreement with your tutor. A minimum of 24 credits must be obtained from core courses during the MSc EEIT.)
      - Advanced Core Courses
- Master Studies (Programme Regulations 2008)
  - Major Courses (A total of 42 CP must be achieved form courses during the Master Program. The individual study plan is subject to the tutor's approval.)
    - Systems and Control
      - Core Subjects (These core subjects are particularly recommended for the field of "Systems and Control".)
Robotics, Systems and Control Master
- Core Courses
Quantitative Finance Master (see Students in the Joint Degree Master's Programme "Quantitative Finance" must book UZH modules directly at the UZH. Those modules are not listed here.)
- Elective Courses
  - Mathematical Methods for Finance
Doctoral Department of Mechanical and Process Engineering (More Information at: )
- Doctoral and Post-Doctoral Courses
Data Science Master
- Core Courses
  - Core Electives