# Stochastic processes

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• Week 1: Introduction & Renewal processes
• Upon completing this week, the learner will be able to understand the basic notions of probability theory, give a definition of a stochastic process; plot a trajectory and find finite-dimensional distributions for simple stochastic processes. Moreover, the learner will be able to apply Renewal Theory to marketing, both calculate the mathematical expectation of a countable process for any renewal process
• Week 2: Poisson Processes
• Upon completing this week, the learner will be able to understand the definitions and main properties of Poisson processes of different types and apply these processes to various real-life tasks, for instance, to model customer activity in marketing and to model aggregated claim sizes in insurance; understand a relation of this kind of models to Queueing Theory
• Week 3: Markov Chains
• Upon completing this week, the learner will be able to identify whether the process is a Markov chain and characterize it; classify the states of a Markov chain and apply ergodic theorem for finding limiting distributions on states
• Week 4: Gaussian Processes
• Upon completing this week, the learner will be able to understand the notions of Gaussian vector, Gaussian process and Brownian motion (Wiener process); define a Gaussian process by its mean and covariance function and apply the theoretical properties of Brownian motion for solving various tasks
• Week 5: Stationarity and Linear filters
• Upon completing this week, the learner will be able to determine whether a given stochastic process is stationary and ergodic; determine whether a given stochastic process has a continuous modification; calculate the spectral density of a given wide-sense stationary process and apply spectral functions to the analysis of linear filters.
• Week 6: Ergodicity, differentiability, continuity
• Upon completing this week, the learner will be able to determine whether a given stochastic process is differentiable and apply the term of continuity and ergodicity to stochastic processes
• Week 7: Stochastic integration & Itô formula
• Upon completing this week, the learner will be able to calculate stochastic integrals of various types and apply Itô’s formula for calculation of stochastic integrals as well as for construction of various stochastic models.
• Week 8: Lévy processes
• Upon completing this week, the learner will be able to understand the main properties of Lévy processes; construct a Lévy process from an infinitely-divisible distribution; characterize the activity of jumps of a given Lévy process; apply the Lévy-Khintchine representation for a particular Lévy process and understand the time change techniques, stochastic volatility approach are other ideas for construction of Lévy-based models.
• Final exam
• This module includes final exam covering all topics of this course