Semester | Mand. | Option | Filières |
MA2, MA4 | x | ||
MA2 | x | A |
Lecture | 2 weekly |
Exercises | 2 weekly |
Study plan | Semester | Mand. | Option | Filières |
Ingénierie Mathématiques 2019-20 | MA2 | x | ||
Ingénierie Mathématiques 2019-20 | MA4 | x | ||
Mathématiques Master 2019-20 | MA2 | x | A |
Cursus | Sem. | Type |
---|---|---|
Ing.-math | MA2, MA4 | Opt. |
Mathématicien | MA2 | Opt. |
This course serves as an introduction to the world of Gaussian processes. Gaussian processes are omnipresent in modelling random phenomena. There are at least two reasons for it:
1) Gaussian processes appear naturally through the Central Limit Theorem and its relatives;
2) Gaussian models have many special properties that make their mathematical study interesting...and possible.
The aim of this course is to better understand these two reasons by both looking into general properties of Gaussian measures, and by studying in detail some concrete Gaussian models.
Here is a tentative list of topics:
- Different characterisations of standard Gaussians and revisiting the Central Limit Theorem;
Mathematics Bachelor's level knowledge of analysis, linear algebra and probability (for example, the Bloc "Science de Base" in EPFL Mathematics Bachelor's program).
From the Bachelor's program: Martingales and applications; Stochastic processes;
From the Master's program: Probability theory, Theory of Stochastic calculus.
Lectures and exercise classes.
During the semester
Dans le cas de l’art. 3 al. 5 du Règlement de section, l’enseignant décide de la forme de l’examen qu’il communique aux étudiants concernés.
Will be discussed in class.
optionnel
optionnel
Cours
Lecture
Heure(s) hebdo x 14 semaines
Hour(s) per week x 14 weeks
H hebdo
H hebdo
Exercices
Exercises
Heure(s) hebdo x 14 semaines
Hour(s) per week x 14 weeks
H hebdo
H hebdo
Pendant le semestre
During the semester
Session été
Session summer
ETE
ETE
optionnel
optionnel
Cours
Lecture
Heure(s) hebdo x 14 semaines
Hour(s) per week x 14 weeks
H hebdo
H hebdo
Exercices
Exercises
Heure(s) hebdo x 14 semaines
Hour(s) per week x 14 weeks
H hebdo
H hebdo
Pendant le semestre
During the semester
Session été
Session summer
ETE
ETE
optionnel
optionnel
Cours
Lecture
Heure(s) hebdo x 14 semaines
Hour(s) per week x 14 weeks
H hebdo
H hebdo
Exercices
Exercises
Heure(s) hebdo x 14 semaines
Hour(s) per week x 14 weeks
H hebdo
H hebdo
Pendant le semestre
During the semester
Session été
Session summer
ETE
ETE
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