Syllabus

Title
5865 Stochastic processes and appplications in economics
Instructors
Univ.Prof. Dr. Rüdiger Frey
Contact details
ruediger.frey.wu.ac.at
Type
PI SE
Weekly hours
2
Language of instruction
Englisch
Registration
02/06/14 to 02/26/14
Registration via LPIS
Notes to the course
Subject(s) Doctoral/PhD Programs
Advanced Course Research Methods of Social and Economic Sciences
Research Methods
Dates
Day Date Time Room
Tuesday 03/11/14 03:00 PM - 05:00 PM D4.4.008
Tuesday 03/18/14 03:00 PM - 05:00 PM D4.4.008
Tuesday 03/25/14 03:00 PM - 05:00 PM D4.4.008
Tuesday 04/01/14 03:00 PM - 05:00 PM D4.4.008
Tuesday 04/08/14 11:15 AM - 01:15 PM D4.4.008
Tuesday 04/29/14 03:00 PM - 05:00 PM D4.4.008
Tuesday 05/06/14 03:00 PM - 05:00 PM D4.4.008
Tuesday 05/13/14 03:00 PM - 05:00 PM D4.4.008
Tuesday 05/20/14 03:00 PM - 05:00 PM D4.4.008
Tuesday 05/27/14 03:00 PM - 05:00 PM D4.0.019
Tuesday 06/03/14 03:00 PM - 05:00 PM D4.4.008
Tuesday 06/17/14 03:00 PM - 05:00 PM D4.4.008
Tuesday 06/24/14 02:00 PM - 04:00 PM D4.0.127

On this page:

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Contents

In the seminar we will discuss various topics from the theory of (applied) stochastic process such as

•    Construction of continuous-time Markov chains

•    Asymptotics of continuous-time Markov chains

•    Elements from the theory of Markov processes

•    Point processes

•    Elements of queuing theory

•    Martingales and Martingale theory

•    diffusion processes

Moreover we will be concerned with certain economic applications. The course will be based on the book Probability and Random Processes by Grimmett and Stirzacker.


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Learning outcomes

Stochastic processes are an important tool in the modelling and statistical estimation of dynamic economic systems. In this course students will become familiar with various topics in this area.

After completing the course students should be equipped with the necessary tools to read the relevant research literature in the field.


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Teaching/learning method(s)

The course will be a blend of presentations by the instructure, joint discussion and presentations by the participants.

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Assessment
  • 20% Course participation
  • 30% students presentation
  • 50% oral exam at the end
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Availability of lecturer(s)

ruediger.frey@wu.ac.at

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Unit details
Unit Date Contents
1 11.3.2014 At this day we will discuss details of the course (Vorbesprechung)
2 18.3.2014 There will be no lecture at this date 
3 25.3.2014 There will be no lecture at this date
4 01.4.2014 Start of the course 
Last edited: 2014-01-24



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