Stochastic Processes II

Basic Information

M121 (2+2+0) - 6 ECTS credits

Adoption of theoretical concepts related to basic types of continuous-time stochastic processes, understanding of analytical techniques for solving problems in theory and practice, and identifying possible applications of stochastic processes in practice.

 

You can access the course content at the following link: PDF

Teachers

Basic literature

  1. G. Grimmett, D. Stirzaker, Probability and Random Processes, Clarendon Press, Oxford, 2004.
  2. T. Mikosch, Elementary Stochastic Calculus With Finance in View, World Scientific, 2000.

Additional literature

  1. P. Baldi, L. Mazliak, P. Priouret, Martingales and Markov Chains: Solved Exercises and Elements of
    Theory, Chapman and Hall, New York, 2002.
  2. N. Elezović, Statistika i procesi, Element, Zagreb, 2007.
  3. S. Karlin, H. M. Taylor, A First Course in Stochastic Processes, Academic press, New York-London,1975
  4. S. Karlin, H. M. Taylor, A Second Course in Stochastic Processes, Academic press, New York-London,1981.
  5. J. R. Norris, Markov Chains, Cambridge University Press, 1997.
  6. S. I. Resnick, Adventures in Stochastic Processes, Birkhauser, Boston, 2002.
  7. S. M. Ross, Introduction to Probability Models, Academic Press, 2014.
  8. Z. Vondraček, Financijsko modeliranje (web materijali), PMF-Matematički odsjek, Sveučilište u
    Zagrebu, 2018.
  9. Z. Vondraček, Markovljevi lanci (web materijali), PMF-Matematički odsjek, Sveučilište u Zagrebu,
    2013.
  10. Z. Vondraček, Slučajni procesi (web materijali), PMF-Matematički odsjek, Sveučilište u Zagrebu,
    2018.
  11. D. Williams, Probability with Martingales, Cambridge University Press, 2001.

Teaching materials

The materials are available on the internal Teams channel of the course, through which all internal communication takes place. Students are required to register on the course’s Teams channel. The channel code for joining the course can be found in the schedule.