The purpose of this course is to equip students with theoretical knowledge and practical skills, which are necessary for the analysis of stochastic dynamical systems in economics, engineering and other fields.
More precisely, the objectives are
1. study of the basic concepts of the theory of stochastic processes;
2. introduction of the most important types of stochastic processes;
3. study of various properties and characteristics of processes;
4. study of the methods for describing and analyzing complex stochastic models.
Practical skills, acquired during the study process:
1. understanding the most important types of stochastic processes (Poisson, Markov, Gaussian, Wiener processes and others) and ability of finding the most appropriate process for modelling in particular situations arising in economics, engineering and other fields;
2. understanding the notions of ergodicity, stationarity, stochastic integration; application of these terms in context of financial mathematics;
It is assumed that the students are familiar with the basics of probability theory. Knowledge of the basics of mathematical statistics is not required, but it simplifies the understanding of this course.
The course provides a necessary theoretical basis for studying other courses in stochastics, such as financial mathematics, quantitative finance, stochastic modeling and the theory of jump - type processes.
Do you have technical problems? Write to us: coursera@hse.ru...

Sep 14, 2019

This was helpful but I still feel I don't understand stochastic processes. Folks taking this course should know that it's pretty tough, compared to most Coursera courses.

Sep 23, 2019

Great course! The subject material was well covered and it gave me the tools to tackle more advanced stochastic, like population dynamics or quantitative finance.

筛选依据：

创建者 Zhang Y

•May 04, 2019

This is an excellent course and the videos are very good.

创建者 Juan P U M

•Jan 12, 2020

Excellent course. Challenging and enriching.

创建者 Dariusz

•Jun 20, 2018

Great mathematical formulation!

创建者 Troy W

•May 02, 2018

Please, make quiz free

创建者 Daniel H M

•Jun 09, 2018

Really recommendable.

创建者 Yifan G

•Jan 13, 2020

太难了！TOO DIFFICULT

创建者 KONSTANTINOS C T

•Jun 25, 2018

amazing course

创建者 Mirco P

•Dec 04, 2019

Great course

创建者 Rishab K

•Apr 06, 2019

Loved it.

创建者 Liam B

•Feb 27, 2019

Very Good

创建者 贺瑞麟

•Dec 14, 2018

tres bon

创建者 maraka d r

•Apr 10, 2019

nice

创建者 Jonathan

•Jan 15, 2020

This was a good class, but it is probably a bit unique among a lot of the options you have in Coursera.

General Overview:

This class is ENTIRELY about the formal mathematical principles surrounding a very specific, niche academic topic. You won't need to touch a computer to do any of the assignments, and the course material is entirely comprised of mathematically formulating a bunch of different concepts.

Best Parts:

In terms of subject material, this is without a doubt one of the most unique classes on Coursera. It covers a variety of unique concepts that I don't think are covered anywhere else, and by the time you're finished you're covering material that is very differentiated. There's really not a lot of coverage anywhere about something like a Levy Process........this is the exact kind of thing you'd probably have to go to graduate school in order to get exposure to, and for a lot of the material covered, many of the top google links about my queries were the lecture videos I was watching about the topic at hand.

This class is very useful for refining your mathematical pedigree. If you feel like you're weak on on formal math and are trying to bootstrap your own knowledge on quantitative topics, there are probably few better resources than a class like this.

Worst Parts:

There is basically no attempt to go into useful, practical applications of the material covered. None of the examples given in class are concrete, and basically everything is covered at the level of derivatives and integrals on a whiteboard. After 8 weeks I still wouldn't have much of an idea about how to actually implement most of the things covered in class.

I DO have some useful memory pointers about the formal theory behind a lot of interesting things that I didn't have before, but if I actually wanted to model insurance claims according to a compound poisson process I don't think I'd know where to start.

There is no attempt to simplify the material, and a good amount of background knowledge is assumed in the coverage of class material. So be prepared to do some additional work on your own if you want to be able to fully understand the contents of the material.

Overall, I found this to be a unique class with certain benefits I don't think I would find anywhere else on the internet. And while it is very particular in what it does and doesn't do for you, I found it to be a worthwhile endeavor and enjoyed the chance to engage with its material.

创建者 Moreno C

•Oct 23, 2019

This is an intense mathematics course which requires a strong previous knowledge of single variable calculus and probability theory.

I have learned a lot and I was happy with the classic theorem/proof teaching style of the instructor.

Nonetheless, I would have found beneficial adding to the rigorous proofs some recitations dedicated to potential applications of the theoretical tools developed during the course.

创建者 周昊晟

•Aug 09, 2019

This course is a very good course to have an extensive view on stochastic process. Although rigorous proofs are not given for some of the theorems, the class is still worth learning.

创建者 Leandro S P

•Dec 29, 2018

The content of the course is excellent and the lectures are very clear. However, there are recurrent errors in the exercises and even in the final exam which have not been corrected.

创建者 韩

•Nov 27, 2018

Please give us the explanation of the exercises, because I don't understand why my answer is wrong.

创建者 Luan S d B

•Aug 02, 2019

O curso deveria ter mais exemplos que se encaixam na vida real. A parte teórica foi excelente.

创建者 Dmitry

•Nov 13, 2018

Nice course but a lot of typos in the slides.

创建者 Chen N

•Jan 05, 2019

Nice course :) But it takes time to be adopted to the teaching style...

创建者 yash

•Jun 03, 2019

mediocre explanation and lack of exercise.

创建者 Meilu L

•Oct 25, 2018

It is difficult to understand

创建者 Long Y

•Jun 15, 2018

Too many errors in the quiz. It makes students confused about what is asked and why the answer is that. Students keep guessing what the question is asking or what typo the correct answer may have.