Teknillinen korkeakoulu, 
Institute of Mathematics

Mat-1.3605 Information and stochastic processes,  5 cr (2006)

Exams

Final exam. Date will be announced later.

Contents

During the lectures we will discuss two different aspects of information
  1. Classical information measures and distances
  2. Applications to statistics and finance
  3. How different information (in sigma-algebras) can change the description of the process
  4. Applications

Preliminaries

Courses Mat-1.2600 or Mat-1.2620, Mat-2.3111 and Mat-1.3602 contain useful preliminary information.

Course material

The material is scattered in several books and papers.

Timetable

The course will be lectured at fall 2006 during the second period.

Lectures on Mondays 9-12 U322 and Thursdays 9-10 Y427b and 10-12 U345. The course will be lectured in English. First lecture on Thursday 2.11.

Exercises on Thursdays 14-16 U322. First exercises on Thursday 9.11.

Exercises

The exercises will be delivered via email to course participants. Make sure the lecturer has your email address. You get points for the final exam from the exercises. If you can't participate in the exercise sessions you can return the exercises carefully solved next to the room U307.

Enrollment

Enrollment through www-topi.

Teachers

Lecturer Esko Valkeila and assistant Mika Sirviö.