Statistics for Stochastic Processes is a Master course on
statistics for diffusions and Lévy processes.
It covers continuous as well as high- and low-frequency
observations. The focus is on nonparametric
statistics. It is a semester course with 2 hours lectures plus
1 hour exercise class over 16 weeks.
Jakob Söhl taught Statistics for Stochastic Processes as a
nationwide Master course in the Netherlands
in 2020, 2022 and 2024. Previously he taught this Master
course at the Berlin Mathematical School in
the Winter Semester 2020/21. He gave earlier versions of this
course in 2015 and 2016 at the University
of Cambridge.
Jakob Söhl wrote lecture notes for the course
Statistics for Stochastic
Processes.
In the exercise classes students solved the exercises from the
Exercise Sheets.
For the second part of the course the book
Lévy
Matters IV is recommended.
As reference for stochastic calculus the lecture notes on
Stochastic
Calculus
by Nathanaël Berestycki are recommended.
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