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
- Classical information measures and distances
- Fisher infomation
- Kullback-Leibler information
- entropy
- statistical distances
- Applications to statistics and finance
- How different information (in sigma-algebras)
can change the description of the process
- initial enlargement of filtrations
- progressive enlargement of filtrations
- 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.