Stochastic analysis 2019 2020 - История изменений

Svsamsonov в 16:41, 21 декабря 2019

2019-12-21T16:41:06Z

← Предыдущая версия		Версия от 16:41, 21 декабря 2019
Строка 52:		Строка 52:
	*[https://www.dropbox.com/s/kfsyssv45peev2n/HW_2_stochan.pdf?dl=0 Homework №2], deadline - 06.11.2019, 23:59		*[https://www.dropbox.com/s/kfsyssv45peev2n/HW_2_stochan.pdf?dl=0 Homework №2], deadline - 06.11.2019, 23:59
	*[https://www.dropbox.com/s/bk9e1pwdrq0rzyo/HW_3_stochan.pdf?dl=0 Homework №3], deadline - 01.12.2019, 23:59, [https://www.dropbox.com/s/nuktfsxiryztma3/File_with_hint_do_not_open_until_emergency.pdf?dl=0 Explicit recurrence for №4, do not open until emergency]		*[https://www.dropbox.com/s/bk9e1pwdrq0rzyo/HW_3_stochan.pdf?dl=0 Homework №3], deadline - 01.12.2019, 23:59, [https://www.dropbox.com/s/nuktfsxiryztma3/File_with_hint_do_not_open_until_emergency.pdf?dl=0 Explicit recurrence for №4, do not open until emergency]
	~~<br><span style="color:#DC143C">Deadline postponed by 1 day, moderate hint added to file HW №3, shameless hint in the separate file </span>~~
	*[https://www.dropbox.com/s/3yktcr8u7dyk1s7/HW_4_stochan%20%282%29.pdf?dl=0 Homework №4], deadline - 22.12.2019, 23:59		*[https://www.dropbox.com/s/3yktcr8u7dyk1s7/HW_4_stochan%20%282%29.pdf?dl=0 Homework №4], deadline - 22.12.2019, 23:59
			<br><span style="color:#DC143C">Deadline postponed by 1 day</span>
	*[https://www.dropbox.com/s/gldo61bg4r29u4f/HW_bonus_stochan.pdf?dl=0 Bonus hometask], deadline - 22.12.2019, 23:59 [https://www.dropbox.com/s/x1oj4t0lq20ou7u/swiss.csv?dl=0 dataset]		*[https://www.dropbox.com/s/gldo61bg4r29u4f/HW_bonus_stochan.pdf?dl=0 Bonus hometask], deadline - 22.12.2019, 23:59 [https://www.dropbox.com/s/x1oj4t0lq20ou7u/swiss.csv?dl=0 dataset]

Svsamsonov в 16:40, 21 декабря 2019

2019-12-21T16:40:33Z

← Предыдущая версия		Версия от 16:40, 21 декабря 2019
Строка 53:		Строка 53:
	*[https://www.dropbox.com/s/bk9e1pwdrq0rzyo/HW_3_stochan.pdf?dl=0 Homework №3], deadline - 01.12.2019, 23:59, [https://www.dropbox.com/s/nuktfsxiryztma3/File_with_hint_do_not_open_until_emergency.pdf?dl=0 Explicit recurrence for №4, do not open until emergency]		*[https://www.dropbox.com/s/bk9e1pwdrq0rzyo/HW_3_stochan.pdf?dl=0 Homework №3], deadline - 01.12.2019, 23:59, [https://www.dropbox.com/s/nuktfsxiryztma3/File_with_hint_do_not_open_until_emergency.pdf?dl=0 Explicit recurrence for №4, do not open until emergency]
	<br><span style="color:#DC143C">Deadline postponed by 1 day, moderate hint added to file HW №3, shameless hint in the separate file </span>		<br><span style="color:#DC143C">Deadline postponed by 1 day, moderate hint added to file HW №3, shameless hint in the separate file </span>
	*[https://www.dropbox.com/s/3yktcr8u7dyk1s7/HW_4_stochan%20%282%29.pdf?dl=0 Homework №4], deadline - 21.12.2019, 23:59		*[https://www.dropbox.com/s/3yktcr8u7dyk1s7/HW_4_stochan%20%282%29.pdf?dl=0 Homework №4], deadline - 22.12.2019, 23:59
	*[https://www.dropbox.com/s/gldo61bg4r29u4f/HW_bonus_stochan.pdf?dl=0 Bonus hometask], deadline - 22.12.2019, 23:59 [https://www.dropbox.com/s/x1oj4t0lq20ou7u/swiss.csv?dl=0 dataset]		*[https://www.dropbox.com/s/gldo61bg4r29u4f/HW_bonus_stochan.pdf?dl=0 Bonus hometask], deadline - 22.12.2019, 23:59 [https://www.dropbox.com/s/x1oj4t0lq20ou7u/swiss.csv?dl=0 dataset]

Svsamsonov в 12:58, 18 декабря 2019

2019-12-18T12:58:35Z

← Предыдущая версия		Версия от 12:58, 18 декабря 2019
Строка 53:		Строка 53:
	*[https://www.dropbox.com/s/bk9e1pwdrq0rzyo/HW_3_stochan.pdf?dl=0 Homework №3], deadline - 01.12.2019, 23:59, [https://www.dropbox.com/s/nuktfsxiryztma3/File_with_hint_do_not_open_until_emergency.pdf?dl=0 Explicit recurrence for №4, do not open until emergency]		*[https://www.dropbox.com/s/bk9e1pwdrq0rzyo/HW_3_stochan.pdf?dl=0 Homework №3], deadline - 01.12.2019, 23:59, [https://www.dropbox.com/s/nuktfsxiryztma3/File_with_hint_do_not_open_until_emergency.pdf?dl=0 Explicit recurrence for №4, do not open until emergency]
	<br><span style="color:#DC143C">Deadline postponed by 1 day, moderate hint added to file HW №3, shameless hint in the separate file </span>		<br><span style="color:#DC143C">Deadline postponed by 1 day, moderate hint added to file HW №3, shameless hint in the separate file </span>
	*[https://www.dropbox.com/s/~~e68h4ewihuem5ul~~/HW_4_stochan.pdf?dl=0 Homework №4], deadline - 21.12.2019, 23:59		*[https://www.dropbox.com/s/3yktcr8u7dyk1s7/HW_4_stochan%20%282%29.pdf?dl=0 Homework №4], deadline - 21.12.2019, 23:59
	*[https://www.dropbox.com/s/gldo61bg4r29u4f/HW_bonus_stochan.pdf?dl=0 Bonus hometask], deadline - 22.12.2019, 23:59 [https://www.dropbox.com/s/x1oj4t0lq20ou7u/swiss.csv?dl=0 dataset]		*[https://www.dropbox.com/s/gldo61bg4r29u4f/HW_bonus_stochan.pdf?dl=0 Bonus hometask], deadline - 22.12.2019, 23:59 [https://www.dropbox.com/s/x1oj4t0lq20ou7u/swiss.csv?dl=0 dataset]

Svsamsonov в 14:02, 14 декабря 2019

2019-12-14T14:02:10Z

← Предыдущая версия		Версия от 14:02, 14 декабря 2019
Строка 54:		Строка 54:
	<br><span style="color:#DC143C">Deadline postponed by 1 day, moderate hint added to file HW №3, shameless hint in the separate file </span>		<br><span style="color:#DC143C">Deadline postponed by 1 day, moderate hint added to file HW №3, shameless hint in the separate file </span>
	*[https://www.dropbox.com/s/e68h4ewihuem5ul/HW_4_stochan.pdf?dl=0 Homework №4], deadline - 21.12.2019, 23:59		*[https://www.dropbox.com/s/e68h4ewihuem5ul/HW_4_stochan.pdf?dl=0 Homework №4], deadline - 21.12.2019, 23:59
	*[https://www.dropbox.com/s/gldo61bg4r29u4f/HW_bonus_stochan.pdf?dl=0 Bonus hometask], deadline - 22.12.2019, 23:59		*[https://www.dropbox.com/s/gldo61bg4r29u4f/HW_bonus_stochan.pdf?dl=0 Bonus hometask], deadline - 22.12.2019, 23:59 [https://www.dropbox.com/s/x1oj4t0lq20ou7u/swiss.csv?dl=0 dataset]
	[https://www.dropbox.com/s/x1oj4t0lq20ou7u/swiss.csv?dl=0 dataset]

	== Grades and results ==		== Grades and results ==

Svsamsonov в 14:02, 14 декабря 2019

2019-12-14T14:02:01Z

← Предыдущая версия		Версия от 14:02, 14 декабря 2019
Строка 55:		Строка 55:
	*[https://www.dropbox.com/s/e68h4ewihuem5ul/HW_4_stochan.pdf?dl=0 Homework №4], deadline - 21.12.2019, 23:59		*[https://www.dropbox.com/s/e68h4ewihuem5ul/HW_4_stochan.pdf?dl=0 Homework №4], deadline - 21.12.2019, 23:59
	*[https://www.dropbox.com/s/gldo61bg4r29u4f/HW_bonus_stochan.pdf?dl=0 Bonus hometask], deadline - 22.12.2019, 23:59		*[https://www.dropbox.com/s/gldo61bg4r29u4f/HW_bonus_stochan.pdf?dl=0 Bonus hometask], deadline - 22.12.2019, 23:59
			[https://www.dropbox.com/s/x1oj4t0lq20ou7u/swiss.csv?dl=0 dataset]

	== Grades and results ==		== Grades and results ==

Svsamsonov в 13:59, 14 декабря 2019

2019-12-14T13:59:42Z

← Предыдущая версия		Версия от 13:59, 14 декабря 2019
Строка 71:		Строка 71:
	*http://th.if.uj.edu.pl/~gudowska/dydaktyka/Oksendal.pdf - Stochastic Differential Equations by B. Oksendal (another exposition of the stochastic calculus) - chapters 3-5;		*http://th.if.uj.edu.pl/~gudowska/dydaktyka/Oksendal.pdf - Stochastic Differential Equations by B. Oksendal (another exposition of the stochastic calculus) - chapters 3-5;

	==Additional reading (Lecture from 14.12 and related topics)		==Additional reading (Lecture from 14.12 and related topics) ==
	*https://web.math.princeton.edu/~rvan/APC550.pdf- Ramon van Handel, Probability in High Dimension, chapter 2 (but I strongly recommend this book for your future course with Q. Paris, it is amazing);		*https://web.math.princeton.edu/~rvan/APC550.pdf- Ramon van Handel, Probability in High Dimension, chapter 2 (but I strongly recommend this book for your future course with Q. Paris, it is amazing);
	*https://www.springer.com/gp/book/9783319002262 - Gentil, Barky, Ledoux. Classical book on Markovian semigroups, not very easy to read;		*https://www.springer.com/gp/book/9783319002262 - Gentil, Barky, Ledoux. Classical book on Markovian semigroups, not very easy to read;

Svsamsonov в 13:59, 14 декабря 2019

2019-12-14T13:59:17Z

← Предыдущая версия		Версия от 13:59, 14 декабря 2019
Строка 17:		Строка 17:

	== Grading formula ==		== Grading formula ==
	The final grade consists of 3 components (each is non-negative real number from 0 to 10, without any intermediate rounding) :		The final grade consists of 4 components (each is non-negative real number from 0 to 10, without any intermediate rounding) :
	* O<sub>HW</sub> for the hometasks		* O<sub>HW</sub> for the hometasks
	* O<sub>Mid-term</sub> for the midterm exam		* O<sub>Mid-term</sub> for the midterm exam
	* O<sub>Exam</sub> for the final exam		* O<sub>Exam</sub> for the final exam
			* O<sub>Bonus</sub> for the bonus hometask
	The formula for the final grade is		The formula for the final grade is
	* O<sub>Final</sub> = 0.3O<sub>HW</sub> + 0.3O<sub>Mid-term</sub> + 0.4*O<sub>Exam</sub>		* O<sub>Final</sub> = 0.3O<sub>HW</sub> + 0.3O<sub>Mid-term</sub> + 0.4O<sub>Exam</sub> + 0.1O<sub>Bonus</sub>
	with the usual (arithmetical) rounding rule.		with the usual (arithmetical) rounding rule.

Строка 42:		Строка 43:
	==Consultation to midterm==		==Consultation to midterm==
	Consultation will take place on 23.10 at 18:00 at room R609		Consultation will take place on 23.10 at 18:00 at room R609

			==Exam==
			Exam will be held on 21.12.2019 at 10:30 in the following mixed form. First, you will have 1.5 hour to solve 4 problems. During this part you may use any resources (books, notes, laptops, etc). Then the oral part begins: you go to examinator with your solutions and answer some additional questions on the course. You are supposed to answer without preparation, so no proofs are needed. But you need to know the definitions, formulations of main results, and explain the key concepts. The final grade consists of the grade for the problems (20%) and for the oral answer (20%).
			*[https://www.dropbox.com/s/omlg25jwzdptwav/Questions_stochan_final.pdf?dl=0 List of questions]

	== Hometasks ==		== Hometasks ==
Строка 49:		Строка 54:
	<br><span style="color:#DC143C">Deadline postponed by 1 day, moderate hint added to file HW №3, shameless hint in the separate file </span>		<br><span style="color:#DC143C">Deadline postponed by 1 day, moderate hint added to file HW №3, shameless hint in the separate file </span>
	*[https://www.dropbox.com/s/e68h4ewihuem5ul/HW_4_stochan.pdf?dl=0 Homework №4], deadline - 21.12.2019, 23:59		*[https://www.dropbox.com/s/e68h4ewihuem5ul/HW_4_stochan.pdf?dl=0 Homework №4], deadline - 21.12.2019, 23:59
	*[https://www.dropbox.com/s/gldo61bg4r29u4f/HW_bonus_stochan.pdf?dl=0 Bonus hometask], deadline - 21.12.2019, 23:59		*[https://www.dropbox.com/s/gldo61bg4r29u4f/HW_bonus_stochan.pdf?dl=0 Bonus hometask], deadline - 22.12.2019, 23:59

	== Grades and results ==		== Grades and results ==
Строка 61:		Строка 66:

	== Recommended literature (2nd term) ==		== Recommended literature (2nd term) ==
	*https://link.springer.com/book/10.1007%2F978-1-4419-9634-3 - Probability for Statistics and Machine Learning by A. Dasgupta, chapter 14		*https://link.springer.com/book/10.1007%2F978-1-4419-9634-3 - Probability for Statistics and Machine Learning by A. Dasgupta, chapter 12, 14
	*https://link.springer.com/book/10.1007/978-3-540-68829-7 - Probability theory and Random Processes by L. Koralov and Y. Sinai, lecture 13 (Conditional expectations and martingales)		*https://link.springer.com/book/10.1007/978-3-540-68829-7 - Probability theory and Random Processes by L. Koralov and Y. Sinai, lecture 13 (Conditional expectations and martingales)
			*https://link.springer.com/book/10.1007%2F978-3-319-62226-2 - Stochastic Calculus by P. Baldi - chapter 7,8 (Denis followed this book);
			*http://th.if.uj.edu.pl/~gudowska/dydaktyka/Oksendal.pdf - Stochastic Differential Equations by B. Oksendal (another exposition of the stochastic calculus) - chapters 3-5;

			==Additional reading (Lecture from 14.12 and related topics)
			*https://web.math.princeton.edu/~rvan/APC550.pdf- Ramon van Handel, Probability in High Dimension, chapter 2 (but I strongly recommend this book for your future course with Q. Paris, it is amazing);
			*https://www.springer.com/gp/book/9783319002262 - Gentil, Barky, Ledoux. Classical book on Markovian semigroups, not very easy to read;

Svsamsonov в 00:13, 7 декабря 2019

2019-12-07T00:13:49Z

← Предыдущая версия		Версия от 00:13, 7 декабря 2019
Строка 49:		Строка 49:
	<br><span style="color:#DC143C">Deadline postponed by 1 day, moderate hint added to file HW №3, shameless hint in the separate file </span>		<br><span style="color:#DC143C">Deadline postponed by 1 day, moderate hint added to file HW №3, shameless hint in the separate file </span>
	*[https://www.dropbox.com/s/e68h4ewihuem5ul/HW_4_stochan.pdf?dl=0 Homework №4], deadline - 21.12.2019, 23:59		*[https://www.dropbox.com/s/e68h4ewihuem5ul/HW_4_stochan.pdf?dl=0 Homework №4], deadline - 21.12.2019, 23:59
			*[https://www.dropbox.com/s/gldo61bg4r29u4f/HW_bonus_stochan.pdf?dl=0 Bonus hometask], deadline - 21.12.2019, 23:59

	== Grades and results ==		== Grades and results ==

Svsamsonov в 21:57, 5 декабря 2019

2019-12-05T21:57:57Z

← Предыдущая версия		Версия от 21:57, 5 декабря 2019
Строка 48:		Строка 48:
	*[https://www.dropbox.com/s/bk9e1pwdrq0rzyo/HW_3_stochan.pdf?dl=0 Homework №3], deadline - 01.12.2019, 23:59, [https://www.dropbox.com/s/nuktfsxiryztma3/File_with_hint_do_not_open_until_emergency.pdf?dl=0 Explicit recurrence for №4, do not open until emergency]		*[https://www.dropbox.com/s/bk9e1pwdrq0rzyo/HW_3_stochan.pdf?dl=0 Homework №3], deadline - 01.12.2019, 23:59, [https://www.dropbox.com/s/nuktfsxiryztma3/File_with_hint_do_not_open_until_emergency.pdf?dl=0 Explicit recurrence for №4, do not open until emergency]
	<br><span style="color:#DC143C">Deadline postponed by 1 day, moderate hint added to file HW №3, shameless hint in the separate file </span>		<br><span style="color:#DC143C">Deadline postponed by 1 day, moderate hint added to file HW №3, shameless hint in the separate file </span>
	*[https://www.dropbox.com/s/e68h4ewihuem5ul/HW_4_stochan.pdf?dl=0 Homework №4], deadline - 01.12.2019, 23:59		*[https://www.dropbox.com/s/e68h4ewihuem5ul/HW_4_stochan.pdf?dl=0 Homework №4], deadline - 21.12.2019, 23:59

	== Grades and results ==		== Grades and results ==

Svsamsonov в 21:57, 5 декабря 2019

2019-12-05T21:57:45Z

← Предыдущая версия		Версия от 21:57, 5 декабря 2019
Строка 48:		Строка 48:
	*[https://www.dropbox.com/s/bk9e1pwdrq0rzyo/HW_3_stochan.pdf?dl=0 Homework №3], deadline - 01.12.2019, 23:59, [https://www.dropbox.com/s/nuktfsxiryztma3/File_with_hint_do_not_open_until_emergency.pdf?dl=0 Explicit recurrence for №4, do not open until emergency]		*[https://www.dropbox.com/s/bk9e1pwdrq0rzyo/HW_3_stochan.pdf?dl=0 Homework №3], deadline - 01.12.2019, 23:59, [https://www.dropbox.com/s/nuktfsxiryztma3/File_with_hint_do_not_open_until_emergency.pdf?dl=0 Explicit recurrence for №4, do not open until emergency]
	<br><span style="color:#DC143C">Deadline postponed by 1 day, moderate hint added to file HW №3, shameless hint in the separate file </span>		<br><span style="color:#DC143C">Deadline postponed by 1 day, moderate hint added to file HW №3, shameless hint in the separate file </span>
			*[https://www.dropbox.com/s/e68h4ewihuem5ul/HW_4_stochan.pdf?dl=0 Homework №4], deadline - 01.12.2019, 23:59

	== Grades and results ==		== Grades and results ==