You are on page 1of 39

I HC QUC GIA H NI

TRNG I HC KHOA HC T NHIN

KHUNG CHNG TRNH

O TO TIN S
Chuyn ngnh: L thuyt xc sut v thng k ton hc Theory of Probability and Mathematical Statistics. M s : 62.46.15.01 Ngnh: Ton hc

H Ni - 2007

I HC QUC GIA H NI
TRNG I HC KHOA HC T NHIN

KHUNG CHNG TRNH O TO TIN S


Chuyn ngnh: L thuyt xc sut v thng k ton hc Theory of Probability and Mathematical Statistics. M s : 62.46.15.01 Ngnh: Ton hc

Khung chng trnh o to tin s ngnh Ton hc, chuyn ngnh L thuyt xc sut v thng k ton hc c ban hnh theo Quyt nh s: /SH ngy thng nm 2007 ca Gim c i hc Quc gia H Ni. H ni, ngy thng nm 2007
CH NHIM KHOA SAU I HC

GS. TSKH. Nguyn Hu Cng

H Ni - 2007

I HC QUC GIA H NI

CNG HO X HI CH NGHA VIT NAM

TRNG I HC KHOA HC T NHIN

c lp T do Hnh phc

_____________

_____________

KHUNG CHNG TRNH O TO TIN S


Chuyn ngnh: L thuyt xc sut v thng k ton hc M s: 62.46.15.01 Ngnh: Ton hc
Phn I. Gii thiu chung v chng trnh o to. 1. Mt s thng tin v chuyn ngnh o to.

- Tn chuyn ngnh: L thuyt xc sut v thng k ton hc (Theory of


Probability and Mathematical Statistics ).

- M s chuyn ngnh: 62.46.15.01 - Tn ngnh: Ton hc (Mathematics).


Bc o to: Tin s

- Tn vn bng: Tin s Ton hc (Doctor of Philosophy in Mathematics)


n v o to: Trng i hc Khoa hc T nhin, i hc Quc gia H Ni. 2. i tng d thi v cc mn thi tuyn. i tng c ng k d thi: Cng dn nc CHXHCN Vit Nam c cc iu kin quy nh di y c d thi vo o to tin s:

1.1
trnh cng b Th sinh cn tha mn mt trong cc iu kin sau:

iu kin vn bng v cng

a) C bng thc s ng chuyn ngnh hoc chuyn ngnh ph hp hoc chuyn ngnh gn chuyn ngnh ng k d thi. b) C bng thc s khc chuyn ngnh v c bng tt nghip i hc chnh qui ng ngnh hoc ngnh ph hp vi ngnh ng k d thi. Trng hp ny, th sinh phi d thi nh ngi cha c bng thc s v phi c t nht mt bi bo cng b trn tp ch khoa hc hoc tuyn tp cng trnh hi ngh khoa hc trc khi np h s d thi v phi d thi theo ch i vi th sinh cha c bng thc s.

c) C bng tt nghip i hc h chnh quy ng ngnh, loi gii tr ln v c t nht mt bi bo cng b trn tp ch khoa hc hoc tuyn tp cng trnh hi ngh khoa hc trc khi np h s d thi. d) C bng tt nghip i hc h chnh quy ng ngnh, loi kh tr ln v c t nht mt bi bo cng b trn tp ch khoa hc hoc tuyn tp cng trnh hi ngh khoa hc trc khi np h s d thi. Ni dung cc bi bo mc b, c, d phi ph hp vi hng nghin cu ng k d thi. 1.2 iu kin thm nin cng tc Thi sinh d thi vo chng trnh o to tin s cn c t nht hai nm lm vic chuyn mn trong lnh vc ng k d thi k t khi tt nghip i hc (tnh t ngy Hiu trng k quyt nh cng nhn tt nghip) n ngy ng k d thi, tr trng hp c chuyn tip sinh.

- Cc mn thi tuyn u vo: i vi th sinh cha c bng thc s


o Mn thi C bn: i s o Mn thi C s: Gii tch o Mn Ngoi ng: trnh C, mt trong nm th ting: Anh, Nga, Php, c, Trung Quc.

o Mn chuyn ngnh: Xc sut thng k.


o Bo v cng nghin cu. Th sinh c bng thc s ng chuyn ngnh hoc chuyn ngnh ph hp hoc chuyn ngnh gn chuyn ngnh ng k d thi khng phi d thi cc mn C bn v C s. Phn II. Khung chng trnh o to. 1. Mc tiu o to: a. V kin thc: Trang b cc kin thc chuyn su, hin i v hon chnh v chuyn ngnh, c cp nht, t trnh tin s khu vc v quc t. b. V nng lc: Tin s chuyn ngnh Xc sut thng k c kh nng bin son gio trnh v ging dy cc mn Ton hc c bn v cc mn thuc chuyn ngnh Xc sut thng k cc trng i hc v Cao ng. C kh nng c lp t chc nghin cu v ng dng Ton hc theo hng chuyn ngnh ca mnh cc Vin, trng i hc v cc c quan nghin cu, sn xut. 2. Ni dung o to: 2.1Tm tt yu cu chng trnh o to: - i vi NCS c bng thc s ng chuyn ngnh:

o Ngoi ng chuyn ngnh (hoc nng cao): 03 tn ch. o Khi kin thc chuyn tin s: 06 tn ch. o Lun n (yu cu v thi gian lm lun n): 03 nm.

i vi NCS c bng thc s thuc chuyn ngnh gn vi chuyn ngnh o to tin s: Tng s tn ch phi tch lu: 39 tn ch, trong : + Khi kin b sung (bt buc): o Bt buc: 22 tn ch. o La chn: 8 tn ch/36 tn ch. + Ngoi ng chuyn ngnh (hoc nng cao): 03 tn ch. + Khi kin thc chuyn tin s: 06 tn ch. + Lun n (yu cu v thi gian lm lun n): 04 nm. - i vi NCS cha c bng thc s: Tng s tn ch phi tch lu: 50 tn ch, trong : + Khi kin thc chung (bt buc): 11 tn ch. + Khi kin thc c s v chuyn ngnh: 30 tn ch. o Bt buc: 22 tn ch. o La chn: 8 tn ch/36 tn ch. + Ngoi ng chuyn ngnh (hoc nng cao): 03 tn ch + Khi kin thc chuyn tin s: 06 tn ch. + Lun n (yu cu v thi gian lm lun n): 04 nm.

2.2 Khung chng trnh: STT M mn hc Tn mn hc S tn ch S gi tn ch * S tit hc ** M s cc TS(LL/ThH/TH) TS(LL/ThH/TH) mn hc tin quyt (4) (5) (6) (7) 11 4 60(60/0/0) 180(60/0/120) 4 3 22 2 2 2 2 2 2 2 2 60(30/30/0) 45 (15/15/15) 180(30/60/90) 135(15/30/90)

(1) (2) (3) I. Khi kin thc chung 1. MG01 Trit hc Philosophy 2. MG02 Ngoi ng chung Foreign languague for general purposes 3. MG03 Ngoi ng chuyn ngnh Foreign languague for specific purposes II. Khi kin thc c s v chuyn ngnh II.1. Cc hc phn bt buc 4. TNXS 601 o v tch phn Measure and Integration 5. TNXS 602 Gii tch phi tuyn Nonlinear Analysis 6. TNXS 603 Gii tch trn a tp Analysis on Manifolds 7. TNXS 604 L thuyt nhm v biu din nhm Theory of Groups and Group Representations 8. TNXS 605 L thuyt ton t tuyn tnh Theory of Linear Operators 9. TNXS 606 L thuyt xp x Theory of Approximation 10. TNXS 607 Hnh hc vi phn Differential Geometry 11. TNXS 608 B tc xc sut

30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0)

90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55) TNXS 601

12. 13. 14.

15. 16. 17. 18. 19. 20. 21. 22. 23. 24. 25.

Advanced Probability TNXS 609 Gii tch ngu nhin Stochastic analysis TNXS 610 L thuyt c lng Theory of Estimation TNXS 611 Phng trnh vi phn ngu nhin Stochastic Differential equations II.2. Cc hc phn la chn TNXS 612 Cc m hnh ngu nhin trong kinh t Statistical modelling in Economics TNXS 613 iu khin cc qu trnh ngu nhin Optimal stochastic processes TNXS 614 L thuyt o ngu nhin v tch phn ngu nhin Random measures and random integrals TNXS 615 L thuyt Martingale Theory of Martingales TNXS 616 H ng lc ngu nhin Random dynamical systems TNXS 617 L thuyt cc qun th trong mi trng ngu nhin Theory of Populations in random environment TNXS 618 L thuyt kim nh gi thit Theory of hypothesis testing TNXS 619 Thng k qu trnh ngu nhin Statistics of stochastic processes TNXS 620 Phn tch thng k nhiu chiu Multivariate analysis TNXS 621 Phn tch chui thi gian (D bo v iu khin) Time series analysis and forecasting TNXS 622 Qu trnh Markov Markov processes

2 2 2 8/36 2 2 2 2 2 2 2 2 2 2 2

30(25/5/0) 30(25/5/0) 30(25/5/0)

90(25/10/55) 90(25/10/55) 90(25/10/55) TNXS 608 TNXS 608, TNXS 609 TNXS 608, TNXS 609 TNXS 608, TNXS 609 TNXS 608, TNXS609 TNXS 608, TNXS 609 TNXS 608, TNXS 609 TNXS 608 TNXS 608, TNXS 609 TNXS 608 TNXS 608 TNXS 608, TNXS 609

30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0)

90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55)

26. 27. 28. 29. 30. 31. 32. III. 33. V. 34. 35. 36. 37. 38. 39. 40.

TNXS 623 Qu trnh dng Stationary processes TNXS 624 Ton t v tch phn ngu nhin Random operators and random integrals TNXS 625 Xc sut trn khng gian metric Probability measures in metric spaces TNXS 626 Cc bi ton c trng ca thng k ton hc Characteristic problems of Statistics TNXS 627 Phn tch qu trnh im khng gian Analysis of Spacial point processes TNXS 628 Phn tch qu trnh ph Analysis of covered processes TNXS 629 Hnh hc ngu nhin Stochastic geometry Ngoi ng chuyn ngnh nng cao DG01 Ngoi ng chuyn ngnh nng cao Advanced foreign language for specific purposes Cc chuyn Tin s TNXS 630 Qu trnh dng nng cao Advanced stationary processes TNXS 631 Phng trnh ton t ngu nhin Random operator equations TNXS 632 H ng lc ngu nhin Random dynamical systems TNXS 633 Cc nh l gii hn trong l thuyt xc sut Limit Theorems in Probability TNXS 634 M phng ngu nhin v ng dng Random Simulation Methods and its application TNXS 635 L thuyt n nh phng trnh vi phn ngu nhin Stability Theory of Stochastic Differential equations TNXS 636 Cc m hnh ngu nhin trong ti chnh

2 2 2 2 2 2 2 3 3 6/26 2 2 2 2 2 2 2

30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0) 45(0/0/45)

90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55) 135(0/0/135)

TNXS 608 TNXS 608 TNXS 608 TNXS 608 TNXS 608 TNXS 608 TNXS 608

30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0)

90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55)

TNXS 608, TNXS 622 TNXS 608, TNXS 615 TNXS 608, TNXS 616 TNXS 608 TNXS 608 TNXS 608, TNXS 609, TNXS 614 TNXS 608,

41.

TNXS 637

42. 43. 44. 45. 46. V.

TNXS 638 TNXS 639 TNXS 640 TNXS 641 TNXS 642 Lun n

Stochastic model in Finance Phng php tim cn trong phng trnh vi phn ngu nhin Asymptotic methods in Stochastic Differential equations L thuyt lc ngu nhin Theory of stochastic filtration Thng k cc qu trnh ngu nhin Statistics for stochastic processes L thuyt qu trnh ph v qu trnh khng gian Covered processes and spacial point processes L thuyt cc phn b xc sut cha v hn Infinitely divisible distributions Hnh hc ngu nhin Stochastic geometry Cng:

30(25/5/0)

90(25/10/55)

TNXS 609 TNXS 608, TNXS 609 TNXS 608, TNXS 609 TNXS 608, TNXS 609 TNXS 608, TNXS 609 TNXS 608, TNXS 609 TNXS 608, TNXS 609

2 2 2 2 2 50

30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0) 30(25/5/0)

90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55) 90(25/10/55)

Ghi ch: * Tng s gi tn ch (s gi tn ch ln lp/s gi tn ch thc hnh/s gi tn ch t hc). **Tng s tit hc (s tit ln lp/s tit thc hnh/s tit t hc).
2.3. Danh mc ti liu tham kho: STT M mn Tn mn hc hc (1) (2) (3) I. Khi kin thc chung 1. MG01 Trit hc Philosophy 2. MG02 Ngoi ng chung Foreign languague for general purposes 3. MG03 Ngoi ng chuyn ngnh S Tn ch (4) 11 4 4 3 Danh mc ti liu tham kho (Ti liu bt buc, Ti liu tham kho thm) (5) Theo chng trnh chung Theo chng trnh chung Theo chng trnh chung

10

II. 4.

Foreign languague for specific purposes Khi kin thc c s v chuyn ngnh II.1. Cc hc phn bt buc TNXS 601 o v tch phn Measures and Integration

22 2

1. Paul Halmos Measure theory 2. J Genet Mesure et intgration thorie


lmentaire (maitrises de mathematiques) Librairie Vuibert, 1976 3. O. Arino, Cl. Delode et J. Genet Mesure et integration (Cours de maitrises) Librairie Vuibert, 1976. 4. Vestrup, Eric M. The Theory of Measure and Integration, John Wiley & Sons, Inc., New York, 2003 1. Hong Ty, Hm thc v Gii tch hm, NXB DdHQG 2005. 2. .H. Tn, N.T.T. H, NXB DDHSP 2003. 3. N.T.T. H, Mt s vn v im bt ng, NXB HSP 2006. 4. Kn m g rp, Ph min, C s l thuyt hm v gii tch hm, NXB THCN 1973. 5. V. Trenoguine, Analyse fonctonanelle, Moscow 1985 1. M.P. do Carmo, Differential forms and Applications, Springer-Verlag, 1994. 2. V. Guillemin, A.Pollack, Differential Topology, Prentice-Hall, 1974. 3. I.H. Madsen, J. Tornehave, From calculus to hohomology, Cambridge, 1997. 4. F. Pham, Geometrie et calcul differentiel sur les

5.

TNXS 602

Gii tch phi tuyn Nonlinear Analysis

6.

TNXS 603

Gii tch trn a tp Analysis on Manifolds

11

varietes, InterEditions, 1992. 5. M. Spivak, Gii tch trn a tp, bn dch ting Vit, NXB HTHCN 1985. 7. TNXS 604 L thuyt nhm v biu din nhm Theory of Groups and Group Representations 2

1. D. J. Benson, Representations and Cohomology (I)2. 3. 4. 5.


(II), Cambridge University Press, 1991. C. W. Curtis and I. Reiner, Representation Theory of finite groups and associate algebras, Interscience Publishers, New York-London-Sedney. 1966. Nguyn Hu Vit Hng: i s i cng, NXB Gio dc, H Ni, 1998, ti bn ln th nht 1999. G. James and M. Liebeck, Representations and characters of groups, Cambridge Univ. Press, Cambridge 1993. J. P. Serre, Linear Representations of finite groups, Springer-Verlag, New York -Heidelberg- Berlin, 1977.

8.

TNXS 605

L thuyt ton t tuyn tnh Theory of Linear Operators

1. Klaus Jochen Engel, Rainer Nagel, One parameter


semigroups for linear evolution equations. 2. Jerome A. Goldstein, Semigroups of linear operators and applications. 3. Pazy, Semigroups of linear and applications to partial differential equations.

9.

TNXS 606

L thuyt xp x Theory of Approximation

1.R.A.

DeVore, G.G. Lorentz, Constructive Approximation, Springer, Berlin-Heidelberg, 1993 Contructive Approximation, Advance Problems, Springer, Berlin-Heidelberg, 1996

2.G.G. Lorentz, M.V.Golitschek, Yu.Makovoz,

12

3.E. Hernandez, G.Weiss, A First Course on


Wavelets, CRC Press, 1996

4.S.M. Nikolskii, Approximation of Functions of


Several Variables and Imbedding Theorems, Springer, Berlin-Heidelberg, 1975

5.V.M.

Tikhomirov, Some Questions of Approximation Theory, Moscow University Press, Moscow 1976. (Russian) 1965. (Russian)

6.N.I. Akhiezer, Theory of Approximation, Nauka 7.D. Hong, J. Wang, R. Garner, Real Analysis with
an Introduction to Wavelets and Applications, Elsevier (Academic Press) 2005. 10. TNXS 607 Hnh hc vi phn Differential Geometry 2

1. T. Aubin, A course in Differential Geometry, AMS,


2000. 1. W.M. Boothby, An introduction to differentiable manifolds and Riemannian geometry, Academic Press, 2nd edition, 1986. 2. S. S. Chern, W. H. Chen, K. S. Lam, Lectures on Differential Geometry, World Scientific, 2000. 1. S. Gallot, D. Hulin, J. Lafontaine, Riemannian Geometry, Springer-Verlag, 2nd edition, 1993. 2. Khu Quc Anh v Nguyn Don Tun, L thuyt lin thng v hnh hc Riemann, NXB HSP 2004. 2. Nguyn Vit Ph, Nguyn Duy Tin: C s l thuyt xc sut, H ni 2004.

11.

TNXS 608

B tc xc sut Advanced Probability

13

3. Nguyn Duy Tin, Cc m hnh xc sut v ng dng, Phn I, II, III NXB HQGHN, 2005 4. W.Feller, An Introduction to Probability Theory and its applications, V.I,V.II, 1971. 12. TNXS 609 Gii tch ngu nhin Stochastic analysis 2 1. Nguyn Vit Ph, Nguyn Duy Tin: C s l thuyt xc sut, H ni 2004. 2. A.Ventxel: Gio trnh qu trnh ngu nhin, Mockva, 1984 3. Nguyn Duy Tin, Cc m hnh xc sut v ng dng, Phn I, II, III NXB HQGHN, 2005 4. W.Feller, An Introduction to Probability Theory and its applications, V.I,V.II, 1971. 5. M.Loeve; Probability Theory, 1963 6. T.W.Anderson, The Statistical Analysis of Time Series, New York, Willey, 1971. 7. A.N.Shiryaev; Probability, 2nd ed, Springer., 1995. 8. O. Kallenberg, Probability and Its Applications, 2nd ed, Springer., 2002. 9. D. W. Strook, Probability Theory, Cambridge, 1993. 1. E. Lehman, Theory of Point Estimation, John Wiley, New York, 1983. 2. o Hu H, Nguyn Vn Hu, Hong Hu Nh, Thng k ton hc, NXB HTHCN, H Ni, 1984; NXB HQG H Ni 2004 .

13.

TNXS 610

L thuyt c lng Theory of Estimation

14.

TNXS 611

Phng trnh vi phn ngu nhin Stochastic Differential equations

1. L. Arnold, Stochastic Differential Equations:


Theory and Applications, Wiley, 1974. 2. M. Baxter and A. Rennie, Financial Calculus: An Introduction to Derivative Pricing, Cambridge 3. U. Press, 1996.

14

4. K. L. Chung, Elementary Probability Theory with


Stochastic Processes, Springer, 1975. 5. A. Friedman, Stochastic Differential Equations and Applications, Vol. 1 and 2, Academic Press. 6. I. I. Gihman and A. V. Skorohod, Stochastic Differential Equations, Springer, 1972. 7. N. V. Krylov, Introduction to the Theory of Diffusion Processes, American Math Society, 1995. 8. [McK] H. McKean, Stochastic Integrals, Academic Press, 1969. 9. B. K. Oksendal, Stochastic Differential Equations: An Introduction with Applications, 4th ed., Springer, 1995. 1. D. Stroock, Probability Theory: An Analytic View, Cambridge U. Press, 1993. II.2. Cc hc phn la chn 15. TNXS 612 Cc m hnh ngu nhin trong kinh t Statistical modelling in Economics 8/36 2

16.

TNXS 613

iu khin cc qu trnh ngu nhin Optimal stochastic processes

1. Hong nh Tun, Ng Vn Th, Nguyn Quang Dong. M Hnh Ton Kinh T, H Ni 1007 2. V Thiu v cc cng s . Kinh T Lng, H Ni 1995. 3. H Seddighi, K.A. Lawler. ECONOMETRICS, 2000. ( On Web. Side) 1. Phm K Anh v Trn c Long . Cc phng php gii s bi ton iu khin ti u. NXB i hc Quc gia H Ni 2001. 2. P. Billingsley. Probability and Measure. John Wiley\&Sons 1986. 3. J.M. Bismut. Thorie probabiliste du contrle des diffusions. Springer-Verlag1974. 4. E.B. Dynkin, A.A. Yushkevich. Controlled markov processes and their applications. Moscow: Nauka

15

17.

TNXS 614

L thuyt o ngu nhin v tch phn ngu nhin Random measures and random integrals L thuyt Martingale Theory of Martingales

1975 (in Russain). 1.O.Kallenberg, Random measures, Academic Press ,New York 1976 2. S. Kwapien, W. Woyczynski, Random series and Stochastic integrals, Boston 1992 1. P. Hall, C.C.Heyde; Martingale Limit Theory and its Application, Academic Press, Inc. New York. 2. P.A. Meyer; Probabilits et Potentiels;Hermann Paris 3. P.A.. Meyer ; Probability and Potentials; Blaisdell Publishing Co. 4. P.A..Meyer; Martingales and Stochastic Integrales; Lecture Notes in Math.V.284, Springer-Verlag, Heidelberg, New York. 5. J.Neveu; Discrete-Parameter Martingales; North.Holland Publishing Company- Amsterdam, Oxford, American Elsevier Publishing company Inc-New York 6. Nguyn Duy Tin-V Vit Yn, L thuyt xc sut; Nh xut bn Gio dc. 1. L.W. Arnold. Random dynamical systems, Springer-Verlag, New york 1998R. 2. Z. Hasminskii. Stochastic Stability of Differential Equations. Sijthoff and Noordhoff 1980 3. B. K. Oksendal, Stochastic Differential Equations: An Introduction with Applications, 4th ed., Springer, 1995.

18.

TNXS 615

19.

TNXS 616

H ng lc ngu nhin Random dynamical systems

20.

TNXS 617

L thuyt cc qun th trong mi trng ngu nhin Theory of Populations in random environment

1. M. Farkas, Periodic Motions, Springer, Berlin,1994. 2. H.I. Freedman, Deterministic mathematical models
in population ecology, in: Monographs and Text

16

books in Pure and Applied Mathematics, Vol.57, Marcel Dekker, Inc., NewYork, 1980. 3. I.I. Gihman, A.V. Skorohod, The Theory of Stochastic Processes, Springer, Berlin, Heidelberg, NewYork, 1979. 4. J. Hofbauer, K. Sigmund, Evolutionary Game and Population Dynamics, Cambridge University Press, Cambridge, 1998. 5. Y. Takeuchi, Global Dynamical Properties of LotkaVolterra Systems, WorldScientic, Singapore,1996. 21. TNXS 618 L thuyt kim nh gi thit Theory of hypothesis testing 2 1. Lehmann E.L. Testing statistical hypotheses. John Wiley, New York 1959; 1997. 2. Rao C.R. Linear statistical inference and its applications. John Wiley, New York 1965. 3. o Hu H- Nguyn Vn Hu- Hong Hu Nh. Thng k Tan hc. NXBi hc&THCN 1984; NXB HQG HN 2004. 4. Good P. Permutation Tests: A Practical Guide to Resampling Methods for Testing hypotheses, nd 2 ed. NewYork, Springer- Verlag, 2000. 5. Shaffer J.P. Multiple hypothesis Testing, Ann.Rev.Psych., 46,561- 584,1995. 1. Rosenblatt, M. Stationnary Sequences and Random fields, Birkhauser, Boston, 1987. 2. Billingsley, P. Statistical Inferences for Markov Processes, Univ. of Chicago Press, Chicago, IL, 1961. 3. Rao,M. M. Stochastic Processes. Inference Theory, Kluwer Academic Publishers, 2000. 4. Brockwel, P. J.& Davis, R.A. Introduction to Time Series and Focasting, Springer, 1996.

22.

TNXS 619

Thng k qu trnh ngu nhin Statistics of stochastic processes

17

23.

TNXS 620

Phn tch thng k nhiu chiu Multivariate analysis

1. Nguyn Vn Hu, Nguyn Hu D. Phn Tch Thng K v D Bo, NXB HQGHN, 2004. 2. o Hu H, Nguyn Vn Hu, Hong Hu Nh. Thng K Ton Hc, NXB HQGHN, 2004. 3. Johnson, R.A.&Wichern, D.W. Applied Multivariate Statistical Analysis, Prentice Hall, 1998. 1. Nguyn Vn Hu, Nguyn Hu D. Phn Tch Thng K v D Bo, NXB HQGHN, 2004. 2. Brockwel, P. J.& Davis, R.A. Introduction to Time Series and Focasting, Springer, 1996. 3. Box, G.E.P and Jenkin, G.M. Time Series Analysis: Forcasting and Control, Revised Edition. Holden-Day, San Francisco, 1976. 1. Nguyn Duy Tin, Xch Markov v ng dng, NXB HQG 2000 2. ng Hng Thng, Qu trnh ngu nhin v tnh ton ngu nhin, NXBHQG 2006. 3. E.B. Dynkin, Markov processes, Academic Press ,New York 1965 1. ng Hng Thng, Qu trnh dng v ng dng, NXB HQG 2001 2. ng Hng Thng, Qu trnh ngu nhin v tnh ton ngu nhin, NXBHQG 2006. 3. H. Crame , M.R. Leadbetter, Stationary and Related Stochastix Processes, John Wiley 1967 1. A.V. Skorokhod, Random linear operators, Riedel 1983 2. S. Kwapien, W. Woyczynski, Random series and Stochastic integrals, Boston 1992

24.

TNXS 621

Phn tch chui thi gian (D bo v iu khin) Time series analysis and forecasting

25.

TNXS 622

Qu trnh Markov Markov processes

26.

TNXS 623

Qu trnh dng Stationary processes

27.

TNXS 624

Ton t v tch phn ngu nhin Random operators and random integrals

18

28.

TNXS 625

Xc sut trn khng gian metric Probability measures in metric spaces

2. Parthasarathy, Probability measures in metric spaces.


New York 1967 3. M.Ledoux, M.Talagrand, Probability in Banach spaces , Springer-Verlag 1991

29.

TNXS 626

Cc bi ton c trng ca thng k ton hc Characteristic problems of Statistics

10. Kagan A.M., Linnik Yu.V., Rao C.R. Characteristic Problems of Math. Statistic. Bn ting Nga Moscow 1972. 11. A modern course on Statistical distributions in Scientific Work, vol. 3: Characterization and Applications, NATO Advanced Study institutes series, USA , 1974 6. Diggle P.J. Statistical Analysis of Spatial Point Pattens. Academic Press 1983 7. Cox T.F. and Lewis T. A conditioned distance ratio method for analysing spatial pattens, Biometrika 63, 483 492; 1996 8. Ripley B.D. Tests of randomness for spatial point patterns; JLR. Statist. Soc. B41, 368 374, 1979 9. Ripley B.D.Statistical inference for spatial process, Cambridge University Press, 1988 4. Hall P. Introdution to the Theory of Coverage Processes. JohnWiley&sons 1988 5. Baccelli F. and Blaszczyszyn B. On the Coverage processes ranging from the Boolean model to the Poisson Voronoi tessellation, Adv. Appl. Prob. SGSA 33, 292- 323, 2001. 3. Stoyan D., Kendall W.S., Mecke J. Stochastic Geometry and its Applications. Akademie-Verlag Berlin; John Wiley & sons, 1987; 2nd ed. 1995

30.

TNXS 627

Phn tch qu trnh im khng gian Analysis of Spacial point processes

31.

TNXS 628

Phn tch qu trnh ph Analysis of covered processes

32.

TNXS 629

Hnh hc ngu nhin Stochastic geometry

19

4. Barndorff- Nielsen O.E., Kendall W.S., and


VanLieshout M.N.M. Stochastic geometry, Chapman and Hall//CRC , 1999 5. Lendall W.S. Models and simulation techniques from stochastic geometry, University of Warwick, 2003 III. 33. IV. 34. Ngoi ng chuyn ngnh nng cao DG01 Ngoi ng chuyn ngnh nng cao Advanced foreign language for specific purposes Cc chuyn Tin s TNXS 630 Qu trnh dng nng cao Advanced stationary processes 3 3 6/26 2 Theo chng trnh chung 1. T.W. Anderson, The statistical analysis of time series, Willey 1971 2. H. Crame , M.R. Leadbetter, Stationary and Related Stochastix Processes, John Wiley 1967 1. A.T. Bharucha-Reid, Random integral Equations, Academic Press ,New York 1972 2. A.V. Skorokhod, Asymptotic Methods in the theory of stochastic differential equations, Riedel 1989 4. L.W. Arnold. Random dynamical systems, Springer-Verlag, New york 1998R. 5. Z. Hasminskii. Stochastic Stability of Differential Equations. Sijthoff and Noordhoff 1980 6. B. K. Oksendal, Stochastic Differential Equations: An Introduction with Applications, 4th ed., Springer, 1995.

35.

TNXS 631

Phng trnh ton t ngu nhin Random operator equations

36.

TNXS 632

H ng lc ngu nhin Random dynamical systems

37.

TNXS 633

Cc nh l gii hn trong l thuyt xc sut Limit Theorems in Probability

1. A.Araujo, E. Gine, The Central Limit Theorem for


real and Banach valued random variables, John Wiley 1980

20

2. P. Bilingsley Convergence of Probabbility measures. Willey 1968 38. TNXS 634 M phng ngu nhin v ng dng Random Simulation Methods and its application 2 1. Nguyn Qu H. Phng Php M Phng MonteCarlo, NXB HQGHN, 2004. 2. Martchuk, G.I. Methods Monte-Carlo in Numerical Calculus Mathematics and in Mathematical Physics, Novocibirsk, 1974( in Russian) 1. B. K. Oksendal, Stochastic Differential Equations: An Introduction with Applications, 4th ed., Springer, 1995. 2. D. Stroock, Probability Theory: An Analytic View, Cambridge U. Press, 1993. 3. Z. Hasminskii. Stochastic Stability of Differential Equations. Sijthoff and Noordhoff 1980 1. Nguyn Vn Hu, Vng Qun Hong, Cc Phng Php Ton Hc Trong Ti Chnh, NXBHQG HN , 2006. 2. Trn Hng Thao.Nhp Mn Ton Hc Ti Chnh, NXB Khoa hc- K thut, H Ni 2004 3. Nguyn Vn Hu, Mt s kt qu mi trong Ton ti chnh ngu nhin , Tp Ch ng Dng Ton Hc, Tp I, S 1, 2003, Tr.47-68. 4. Merton, R.C. Continuous-Time Finance, Basil Blackwell 1990, 5. Karatzas, I. , Shreve, S.E. Methods of Mathematical Finance, Springer,1998. 1. Bensoussan, J. L. Lions and G. C. Papanicolaou, Asymptotic Analysis of Periodic Structures, North Holland, Amsterdam, 1978.

39.

TNXS 635

L thuyt n nh phng trnh vi phn ngu nhin Stability Theory of Stochastic Differential equations

40.

TNXS 636

Cc m hnh ngu nhin trong ti chnh Stochastic model in Finance

41.

TNXS 637

Phng php tim cn trong phng trnh vi phn ngu nhin Asymptotic methods in Stochastic Differential equations

21

2. R.Z. Khasuinskii, On stochastic processes defined by


differential equations with a small parameter. Theor. Prob. Appl., z'(1966), pp. 211-222. 3. I. Gihman and A. V. Skorohod, Stochastic Differential Equations, Springer, Berlin-HeidelbergNew York, 1972. 4. G. Papanicolaou, Introduction to the asymptotic. analysis of stochastic equations, in SIAMAMS,Lectures i n Mathematics, Vol. 16, Providence, R. I., 1977. 42. TNXS 638 L thuyt lc ngu nhin Theory of stochastic filtration 2 1.Simandl, M. and J. Svcha. Nonlinear fiters for continuous time processes. In: Pro-ceedings of the 5th International Conference on Process Control. Univerzita Pardubice. Kouty pod Desnou, 2002. 2. Simandl, M. and O. Straka. Nonlinear estimation by particle filters and Cramvr-Rao bound. In: Proceedings of the 15th triennial world congress of the IFAC. Barcelona, 2002. 3. Simandl, M. and O. Straka. Nonlinear fitering methods: some aspects and performance evaluation. In: Preprints of the IASTED International Conference on Modelling, 4. Identification and Control. Innsbruck 2003. 5.Sorenson, H.W. An Overview of Filtering and Stochastic Control in Dynamic Systems. Academic Press. New York 1976. 6.G. Kallianpur. Stochastic Filtering Theory. Springer (October 1980)

43.

TNXS 639

Thng k cc qu trnh ngu nhin Statistics for stochastic processes

1. Peter Hall, C. C. Heyde. Martingale Limit Theory and


Its Application. Academic Pr. (June 1980). 2. B. D. Ripley. Statistical Inference for Spatial

22

3.
4.

5. 6.

Processes. Cambridge University Press (July 26, 1991). Alan Karr. Point Processes and Their Statistical Inference. CRC; 2 edition (March 1, 1991) Slud. Martingale Methods in Statistics. N.U. Prabhu. Statistical Inference in Stochastic Processes. CRC (December 18, 1990).

44.

TNXS 640

L thuyt qu trnh ph v qu trnh khng gian Covered processes and spacial point processes

1. Hall P. introdution to the Theory of Coverage


Processes. JohnWiley&sons 1988 2. Baccelli F. and Blaszczyszyn B. On the Coverage processes ranging from the Boolean model to the Poisson Voronoi tessellation, Adv. Appl. Prob. SGSA 33, 292- 323, 2001. 5. Diggle P.J. Statistical Analysis of Spatial Point Pattens. Academic Press 1983 6. Cox T.F. and Lewis T. A conditioned distance ratio method for analysing spatial pattens, Biometrika 63, 483 492; 1996 7. Ripley B.D. Tests of randomness for spatial point patterns; JLR. Statist. Soc. B41, 368 374, 1979 8. Ripley B.D.Statistical inference for spatial process, Cambridge University Press, 1988 1. W.Linde, Infinitely divisible and stable measures on Banach spaces , Willey 1986 2. M.Ledoux, M.Talagrand, Probability in Banach spaces , Springer-Verlag 1991 3. P. Bilingsley Convergence of Probabbility measures. Willey 1968

45.

TNXS 641

L thuyt cc phn b xc sut cha v hn Infinitely divisible distributions

23

46.

TNXS 642

Hnh hc ngu nhin Stochastic geometry

1. Stoyan D., Kendall W.S., Mecke J. Stochastic


Geometry and its Applications. Akademie-Verlag Berlin; John Wiley & sons, 1987; 2nd ed. 1995 2. Barndorff- Nielsen O.E., Kendall W.S., and VanLieshout M.N.M. Stochastic geometry, Chapman and Hall//CRC , 1999 3. Lendall W.S. Models and simulation techniques from stochastic geometry, University of Warwick, 2003

2.4. i ng cn b ging dy: S tn ch (4) 11 4 4 3 Cn b ging dy Chc danh, Chuyn ngnh hc v o to (6) (7) Theo s phn cng ca trng HKHTN Theo s phn cng ca trng HKHTN Theo s phn cng ca trng HKHTN

STT M mn hc

Tn mn hc

H v tn (5)

n v cng tc (8)

(1) (2) (3) I. Khi kin thc chung 1. MG01 Trit hc Philosophy 2. MG02 Ngoi ng chung Foreign languague for general purposes 3. MG03 Ngoi ng chuyn ngnh Foreign languague for specific purposes II. Khi kin thc c s v chuyn ngnh II.1. Cc mn hc bt buc 4. TNXS 601 o v tch phn Measure and Integration

16 2

Trn c Long ng Hng Thng Nguyn Duy Tin Nguyn Hu D Phan Vit Th

TS. PGS.TSKH. GS.TSKH. GS.TS. TS.

Ton hc Ton hc Ton hc Ton hc Ton hc

H KHTN H KHTN H KHTN H KHTN H KHTN

24

9.

TNXS 602

Gii tch phi tuyn Nonlinear Analysis

13.

TNXS 603

Gii tch trn a tp Analysis on Manifolds

18.

TNXS 604

L thuyt nhm v biu din nhm Theory of Groups and Group Representations L thuyt ton t tuyn tnh Theory of Linear Operators

Phm K Anh Nguyn Xun Tn Trn c Long Nguyn Khc Vit Ph c Ti Nguyn Vn Minh L Minh H H Huy Vui V Th Khi Nguyn Hu Vit Hng L Minh H Trn Ngc Nam Hunh Mi Trn c Long Nguyn Vn Mu V Ngc Pht Hng Tn inh Dng V Hong Linh Nguyn Thy Thanh Ph c Ti L Minh H H Huy Vui V Th Khi ng Hng Thng Nguyn Duy Tin Phan Vit Th Nguyn Hu D

GS.TSKH. GS.TSKH. TS. TSKH. TS. PGS.TSKH. TS. PGS.TSKH. TS. GS.TSKH. TS. TS. GS.TS. TS. GS.TSKH. GS.TSKH. PGS.TSKH. GS.TSKH. TS. PGS.TS. TS. TS. PGS.TSKH. TS. PGS.TSKH. GS.TSKH. TS. GS.TS.

Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc

22.

TNXS 605

H KHTN Vin Ton hc H KHTN Vin Ton hc H KHTN H KHTN H KHTN Vin Ton hc Vin Ton hc H KHTN H KHTN H KHTN H DL Thng Long H KHTN H KHTN H KHTN Vin Ton hc H QGHN H KHTN H KHTN H KHTN H KHTN Vin Ton hc Vin Ton hc H KHTN H KHTN H KHTN H KHTN

26.

TNXS 606

L thuyt xp x Theory of Approximation Hnh hc vi phn Differential Geometry

29.

TNXS 607

33.

TNXS 608

B tc xc sut Advanced Probability

25

38.

TNXS 609

Gii tch ngu nhin Stochastic analysis

44. 46.

TNXS 610 TNXS 611

L thuyt c lng Theory of Estimation Phng trnh vi phn ngu nhin Stochastic Differential equations

2 2

V Vit Yn ng Hng Thng Nguyn Duy Tin Nguyn Hu D Phan Vit Th Trn Hng Thao Nguyn nh Cng Nguyn Vn Hu o Hu H Nguyn Vit Ph Nguyn Hu D Nguyn Vn Hu Trn Hng Thao Nguyn nh Cng

TS PGS.TSKH. GS.TSKH. GS.TS. TS. PGS.TS. PGS.TSKH. GS.TS. PGS.TS. TS. GS.TS. GS.TS. PGS.TS. PGS.TSKH.

Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc

H SPHN H KHTN H KHTN H KHTN H KHTN Vin Ton hc Vin Ton hc H KHTN H KHTN H KHTN H KHTN H KHTN Vin Ton hc Vin Ton hc

51. 52. 54. 56.

II.2. Cc mn hc t chn TNXS 612 TNXS 613 TNXS 614 Cc m hnh ngu nhin trong kinh t Statistical modelling in Economics iu khin cc qu trnh ngu nhin Optimal stochastic processes L thuyt o ngu nhin v tch phn ngu nhin Random measures and random integrals L thuyt Martingale Theory of Martingales

8/36 2 2 2 Nguyn Vn Hu Nguyn Hu D Nguyn Vn Hu Nguyn Hu D ng Hng Thng Nguyn Vit Ph Nguyn Duy Tin Phan Vit Th Nguyn Hu D V Vit Yn Nguyn Hu D Nguyn nh Cng GS.TS. GS.TS. GS.TS. GS.TS. PGS.TSKH. TS. GS.TSKH. TS. GS.TS. TS. GS.TS. PGS.TSKH. Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc H KHTN H KHTN H KHTN H KHTN H KHTN H KHTN H KHTN H KHTN H KHTN H SPHN H KHTN Vin Ton hc

58.

TNXS 615

62.

TNXS 616

H ng lc ngu nhin Random dynamical systems

26

64.

TNXS 617

66. 68.

TNXS 618 TNXS 619

L thuyt cc qun th trong mi trng ngu nhin Theory of Populations in random environment L thuyt kim nh gi thit Theory of hypothesis testing Thng k qu trnh ngu nhin Statistics of stochastic processes Phn tch thng k nhiu chiu Multivariate analysis Phn tch chui thi gian (D bo v iu khin) Time series analysis and forecasting Qu trnh Markov Markov processes Qu trnh dng Stationary processes

Nguyn Hu D Nguyn nh Cng o Hu H Nguyn Vn Hu Nguyn Vn Hu o Hu H Nguyn Hu D Nguyn Vn Hu o Hu H Nguyn Vn Hu Nguyn Hu D Nguyn Duy Tin Nguyn Hu D ng Hng Thng Nguyn Hu D Nguyn Duy Tin Nguyn Vn Hu ng Hng Thng

GS.TS. PGS.TSKH. PGS.TS. GS.TS. GS.TS. PGS.TS. GS.TS. GS.TS. PGS.TS. GS.TS. GS.TS. GS.TSKH. GS.TS. PGS.TSKH. GS.TS. GS.TSKH. GS.TS. PGS.TSKH.

Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc

H KHTN Vin Ton hc H KHTN H KHTN H KHTN H KHTN H KHTN H KHTN H KHTN H KHTN H KHTN H KHTN H KHTN H KHTN H KHTN H KHTN H KHTN H KHTN

2 2

71. 73. 75. 77.

TNXS 620 TNXS 621 TNXS 622 TNXS 623

2 2 2 2

81.

TNXS 624

Ton t v tch phn ngu nhin Random operators and random integrals Xc sut trn khng gian metric Probability measures in metric spaces

82.

TNXS 625

ng Hng Thng Nguyn Hu D Nguyn Duy Tin Nguyn Vn Hu Phan Vit Th

PGS.TSKH. GS.TS. GS.TSKH. GS.TS. TS.

Ton hc Ton hc Ton hc Ton hc Ton hc

H KHTN H KHTN H KHTN H KHTN H KHTN

27

88.

TNXS 626

Cc bi ton c trng ca thng k ton hc Characteristic problems of Statistics Phn tch qu trnh im khng gian Analysis of Spacial point processes

Nguyn Vn Thu o Hu H

GS.TSKH. PGS.TS.

Ton hc Ton hc

Vin Ton hc H KHTN

89. 91.

TNXS 627 TNXS 628

2 2 2 6/26 2 2 2 2 2 2

o Hu H Nguyn Vn Hu o Hu H o Hu H

PGS.TS. GS.TS. PGS.TS. PGS.TS.

Ton hc Ton hc Ton hc Ton hc

H KHTN H KHTN H KHTN H KHTN

Phn tch qu trnh ph Analysis of covered processes 92. TNXS 629 Hnh hc ngu nhin Stochastic geometry IV. Cc chuyn tin s 93. 94. 95. 96. 97. 98. TNXS 630 TNXS 631 TNXS 632 TNXS 633 TNXS 634 TNXS 635 Qu trnh dng nng cao Advanced stationary processes Phng trnh ton t ngu nhin Random operator equations H ng lc ngu nhin Random dynamical systems Cc nh l gii hn trong l thuyt xc sut Limit Theorems in Probability M phng ngu nhin v ng dng Random Simulation Methods and its application L thuyt n nh phng trnh vi phn ngu nhin Stability Theory of Stochastic Differential equations

Nguyn Vn Hu ng Hng Thng Nguyn Hu D Nguyn Duy Tin Nguyn Vn Hu Nguyn Hu D

GS.TS. PGS.TSKH. GS.TS. GS.TSKH. GS.TS. GS.TS.

Ton hc Ton hc Ton hc Ton hc Ton hc Ton hc

H KHTN H KHTN H KHTN H KHTN H KHTN H KHTN

28

99. 100 . 101 . 102 . 103 . 104 . 105 .

TNXS 636 TNXS 637

TNXS 638 TNXS 639 TNXS 640

TNXS 641 TNXS 642

Cc m hnh ngu nhin trong ti chnh Stochastic model in Finance Phng php tim cn trong phng trnh vi phn ngu nhin Asymptotic methods in Stochastic Differential equations L thuyt lc ngu nhin Theory of stochastic filtration Thng k cc qu trnh ngu nhin Statistics for stochastic processes L thuyt qu trnh ph v qu trnh khng gian Covered processes and spacial point processes L thuyt cc phn b xc sut cha v hn Infinitely divisible distributions Hnh hc ngu nhin Stochastic geometry

2 2

Nguyn Vn Hu Nguyn Vn Hu

GS.TS. GS.TS.

Ton hc Ton hc

H KHTN H KHTN

2 2 2

Nguyn Hu D o Hu H o Hu H

GS.TS. PGS.TS. PGS.TS.

Ton hc Ton hc Ton hc

H KHTN H KHTN H KHTN

2 2

Nguyn Duy Tin ng Hng Thng

GS.TSKH. PGS.TSKH.

Ton hc Ton hc

H KHTN H KHTN

29

2. 5. Tm tt ni dung mn hc: 1. Trit hc Theo chng trnh chung 2. Ngoi ng chung Theo chng trnh chung 3. Ngoi ng chuyn ngnh Theo chng trnh chung 4. o v tch phn Mn hc trang b nhng kin thc c bn v nng cao v l thuyt o v tch phn nh: Vnh, i s, - vnh, - i s cc tp con ca mt tp cho, o dng, Khng gian o c, nh x v hm o c, Tch phn (cc hm dng), Tch phn Lebesgue tru tng, Hm kh tch, Cc khng gian Lebesgue Lp v Lp (1 p +), Cc kiu hi t, o tch. o nh, o cm sinh, o thc hoc phc. Khai trin, o lin tc tuyt i, o Radon. 5. Gii tch phi tuyn Mn hc ny gii thiu nhng khi nim c bn m u ca gii tch hm phi tuyn nh php tnh vi phn trong khng gian Banach, p dng ca php tnh vi phn vo vic nghin cu bi ton cc tr ca cc phim hm kh vi c bit l cc bi ton ca php tnh bin phn. Ngoi ra mn hc cng trnh by mt s nh l v im bt ng ca cc nh x lin tc trong cc khng gian metric, cu trc hnh hc ca cc khng gian Banach cng nh mt s nh l v im bt ng ca cc nh x khng gin trong khng gian Banach v khng gian Hilbert cng vi mt vi p dng ca cc nh l . 6. Gii tch trn a tp Mn hc trang b nhng kin thc c bn v php tnh vi tch phn trn a tp kh vi: cc a tp con trong Rn, trng vc t, a tp kh vi v tch phn trn a tp. 7. L thuyt nhm v biu din nhm Mn hc trang b nhng kin thc c bn v nng cao v l thuyt nhm v biu din nhm: Biu din nhm, Vnh nhm, Mun trn vnh nhm, ng cu mun trn vnh nhm, Mun con v tnh kh quy, nh l Maschke, B Schur, Mun bt kh quy, Phn tch vnh nhm thnh cc mun con bt kh quy, Cc lp lin hp, c trng ca biu din, Tch v hng ca cc c trng, S cc biu din bt kh quy ca mt nhm, Bng c trng v cc quan h trc giao, Nhm con chun tc v nng cc c trng, Mt s bng c trng s cp, Tch tenx ca cc biu din, Hn ch biu din xung nhm con, Mun v c trng cm sinh. 8. L thuyt ton t tuyn tnh

Mn hc trang b nhng kin thc c bn v l thuyt na nhm ton t, l thuyt nhiu lon v xp x. 9. L thuyt xp x Mn hc trang b kin thc hin i v l thuyt xp x hm thc bng a thc lng gic, a thc i s, sng nh v cc cng c khc. Phn c bn ca mn hc l xp x bng phng php tuyn tnh. Tuy nhin mn hc cng cp n mt s vn hin i ca xp x phi tuyn. T y, sinh vin c th vn dng nhng kin thc c tip thu trong cc lnh vc ca gii tch s, x l v nn tn hiu 10. Hnh hc vi phn Gii thiu hnh hc vi phn, trng tm v a tp Riemann: a tp kh vi, khng gian tip xc, tch phn ca trng vc t v dng vi phn, lin thng tuyn tnh, hnh hc Riemann. 11. B tc xc sut Mn hc trang b cc kin thc nng cao v l thuyt xc sut. Mt s kin thc v l thuyt o, khng gian xc sut tng qut, k vng ton hc c iu kin, cc nh l gii hn, qu trnh Markov, Martingale vi thi gian ri rc 12. Gii tch ngu nhin Stochastic analysis Chuyn cung cp cho hc vin nhng kin thc c bn v qu trnh ngu nhin, tnh Markov, tnh dng, qu trnh Wienner, qa trnh Poisson, tch phn ngu nhin, chui thi gian v d bo v ngha thc tin ca cc khi nim ny. Hc sinh cn nm vng v Xch Markov (Xc sut chuyn, phn loi trng thi, nh l ERGODIC, cc v d); cc tch cht c bn ca qu trnh Wiener; Xy dng tch phn ngu nhin, cng thc Ito, phng trnh vi phn ngu nhin. Qu trnh dng: chui thi gian lin tc v ri rc, nh l ERGODIC, cc phng php d bo. 13. L thuyt c lng Theory of Estimation Chuyn cung cp cho hc vin nhng kin thc c bn v ng dng ca l thuyt c lng bao gm: c lng cc tham s ca m hnh hoc c lng phi tham tham s. ng thi nghin cu tnh vng v bn vng ca cc m hnh cng nh tin cy ca cc c lng. 14. Phng trnh vi phn ngu nhin Stochastic Differential equations Bi ging v phng trnh vi phn ngu nhin nhm cung cp cho sinh vin mt s c s ca l thuyt xc sut, phng trnh vi phn ngu nhin v mt s p dng ca chng.

31

Sinh vin theo bi ging ny cn c trang b tt l thuyt xc sut, l thuyt o, phng trnh vi phn thng v phng trnh vi phn o hm ring. Tuy nhin, bi ging s c thit k nhng sinh vin nm th nht ca cao hc cng nh nhng sinh vin gii ca nm cui c th tip thu c. Ni dung chnh ca bi ging l 1. 2. 3. 4. 5. 6. 7. M u Mt vi kin thc chun b v l thuyt xc sut Qu trnh Winer, tch phn ngu nhin Ito v cng thc vi phn Ito Phng trnh vi phn ngu nhin Cc tnh cht c bn ca qu trnh khuych tn Tnh markov ca nghim ca phng trnh vi phn ngu nhin p dng vo bi ton bin

15. iu khin cc qu trnh ngu nhin Optimal stochastic processes Mc tiu chnh ca bi ging l trang b cho sinh vin c k nng m hnh ho v x l mt s bi ton iu khin ti u. Bi ging trnh by ba phn c bn: 1. L thuyt ti u vi thi gian ri rc cho m hnh hu hn trng thi v m hnh Borel. Phn m hnh hu hn trng thi nhm gip cho sinh vin nm bt c t tng chnh khi gii mt bi ton iu khin ti u. 2. Bi ton iu khin ti u mt h ng lc c m t bi phng trnh vi phn thng vi hai nguyn l quan trng nht ca l thuyt iu khin ti u l nguyn l Maximum Pontryagin v nguyn l Quy hoch ng Bellman. 3. Bi ton iu khin ti u qu trnh khuch tn vi trng hp khng c iu khin trong h s khuch tn. 16. L thuyt o ngu nhin v tch phn ngu nhin Random measures and random integrals Chuyn cung cp cho hc vin nhng kin thc c bn v o ngu nhin v tch phn ngu nhin bao gm: o ngu nhin gi tr trc giao, o ngu nhin gi tr c lp, o ngu nhin Gauss v n nh , tch phn ngu nhin ca cc hm tt nh i vi cc o ngu nhin (tch phn kiu Wiener) tch phn ngu nhin ca hm ngu nhin i vi cc o ngu nhin (tch phn kiu Ito) 17. L thuyt Martingale Theory of Martingales

32

Chuyn cung cp cho hc vin nhng kin thc c bn v ngha thc tin ca khi nim Martingale, bao gm: cc bt ng thc Martingale, cc inh l hi t ca Martingale, tch phn ngu nhin Ito v mt s phng trnh vi phn ngu nhin. 18. H ng lc ngu nhin Random dynamical systems L thuyt h ng lc ngu nhin l lnh vc phn tch dng iu tim cn khi thi gian ln ca mt h tin ha theo thi gian chu cc tc ng bi ting n ngu nhin. Gio trnh trnh by cc khi nim c bn v c h ng lc tt nh v ngu nhin vi cc th d t n gin n phc tp. Gio trnh cp n c hai trng hp thi gian lin tc v thi gian ri rc. Cc bi ton lin tc c trnh by da trn cc l thuyt v phng trnh vi phn. Cc phng php s c s dung minh ha cho thi gian ri rc. 19. L thuyt cc qun th trong mi trng tt nh v ngu nhin Theory of populations in deterministic and random environment Gio trnh L thuyt cc qun th trong mi trng tt nh v ngu nhin p ng yu cu khn cp l a cc nh khoa hc c o to ton hc vo cc khoa hc mi trng, sinh thi v sinh hc. Gio trnh c ging dy bc cao hc, gii thiu cch m hnh ha cc bi ton v mi trng v x l cc m hnh ny bng cng c ton hc. Ni dung chnh ca gio trnh l: 2. Cung cp cng c ton hc x l cc m hnh thc t. 3. Gii thiu cch m hnh ha cc bi ton v mi trng v x l cc m hnh ny bng cng c ton hc 4. a ra cc gii php. 5. Cc p dng vo h sinh thi chu s tc ng ca con ngi v cc yu t ngu nhin 20. L thuyt kim nh gi thit Theory of hypothesis testing Trang b cc kt qu c bn cng nh phng php nghin cu ca L thuyt Kim nh gi thit mt trong hai lnh vc rt c bn ca Thng k Ton hc. Trnh by v tiu chun mnh nht v mnh u nht, tiu chun khng chch , mnh u nht khng chch v tiu chun bt bin. 21. Thng k qu trnh ngu nhin Statistics of stochastic processes Trong mn hc ny ngi ta thng nghin cu cc kt lun thng k da trn mt s hu hn hoc m c cc quan st v mt qu trnh ngu nhin dng hoc Markov, cc qu trnh vi

33

gia s c lp.Cc bi ton c bn thng c nghin cu l bi ton c lng cc tham s, kim nh cc gi thit thng k, tch tn hiu trn nn n, d bo gi tr tng lai ca qu trnh. 22. Phn tch thng k nhiu chiu Multivariate analysis Trang b cho ngi hc cc kin thc c bn v vc t ngu nhin, phn b xc sut, vc t gi tr trung bnh, ma trn phng sai ca chng, ly mu t phn b nhiu chiu, cc tnh cht thng k ca cc c trng mu nhiu chiu, c lng cc tham s ca phn b chun nhiu chiu, kim nh cc gi thit v vc t gi tr trung bnh, min tin cy cho vc t gi tr trung bnh, so snh 2 hoc nhiu vc t gi tr trung bnh, phn tch hi qui, phn tch tng quan tuyn tnh v phi tuyn gia cc bin ph thuc v cc bin c lp; Cc phng php phn tch thnh phn chnh v phn tch nhn t, phn tch phn bit v phn lp. 23. Phn tch chui thi gian (D bo v iu khin) Time series analysis and forecasting Mn hc cung cp cc kin thc c bn v chui thi gian ( l dy cc i lng ngu nhin din bin theo thi gian) nh : Cu trc ca chui thi gian, cc phng php lm trn chui thi gian, tch thnh phn xu th, thnh phn ma c chui d l chui dng. Cc chui thi gian thng gp trong kinh t v cc lnh vc khc: chui ARIMAR. Phng php nhn dng cc chui ARIMAR, c lng cc tham s, v chn on s ph hp ca m hnh ARIMAR. D bo cc dy dng v dy ARIMAR. 24. Qu trnh Markov Markov processes Chuyn cung cp cho hc vin nhng kin thc c bn v nng cao v qu trnh Markov, mt lp qu trnh ngu nhin rt quan trng v l thuyt v p dng. Chuyn cp ti nhng vn nh xch Markov ,phn loi trng thI xch Markov,qu trnh Markov v xc sut chuyn, ton t cc vi, tnh Markov mnh. Gii thiu mt s qu trnh Markov quan trng v ng dng ca chng. 25. Qu trnh dng Stationary processes Chuyn cung cp cho hc vin nhng kin thc c bn v qu trnh dng bao gm qu trnh dng vi thi gian lin tc v ri rc,hm t tong quan, o ph, biu din ph, d bo qu trnh dng v tnh ecgodich. Gii thiu mt s qu trnh dng quan trng v ng dng ca chng. 26. Ton t v tch phn ngu nhin Random operators and random integrals

34

Chuyn cung cp cho hc vin nhng kin thc c bn v mt hng mi trong l thuyt xc sut l l thuyt cc ton t ngu nhin v mi lin h ca l thuyt ny vi tch phn ngu nhin. 27. Xc sut trn khng gian mtric Probability measures in metric spaces Chuyn cung cp cho hc vin nhng kin thc c bn v o xc sut trn khng gian mettric nh : o chnh quy, o Radon, s hi t y cc o, tnh compac yu v nh l Prokhorov, nh l biu din Riess. Gii thiu mt s o xc sut trn khng gian mtric v ng dng ca chng. 28. Cc bi ton c trng ca thng k ton hc Characteristic problems of Statistics Cc kt qu c trng phn phi xc sut bi cc tnh cht ca thng k tuyn tnh bi tnh ti u ca c lng bi thng k . Tnh n nh ca cc c trng phn phi . 29. Phn tch qu trnh im khng gian Analysis of Spacial point processes Cung cp mt s phng php thng c dng phn tch mt mu nh . Trnh by v cc tiu chun kim tra mu nh da trn khong cch gia cc bin c , khong cch ti ln cn gn nht , khong cch t im ti cc bin c gn nht , s m vung . Phn tch mu nh da trn cc hm cng cp hai K(t) . Phn tch mu nh nhiu chiu . 30. Phn tch qu trnh ph Analysis of covered processes Trnh by v cc khong ph trn ng thng , phn phi ca di ph ,xc sut ph hon ton . Cc tnh cht c vng trng trong R1 v trong nhiu chiu , M hnh Boolean . Chm trong m hnh boolean , phng php m trong m hnh boolean . 31. Hnh hc ngu nhin Stochastic geometry Cung cp cc kt qu c bn v phng php nghin cu trong hnh hc ngu nhin. Gii thiu cc php ton trn cc tp con ca khng gian Eclid . Trnh by cc kt qu ca qu trnh im ( Poisson dng , Poisson tng qut , qu trnh im tng qut : o moment v cc i lng lin quan ,phn phi Palm , o moment cp hai ) . Trnh by v tp ng ngu nhin . Gii thiu qu trnh ngu nhin ca cc i tng hnh hc . Gii thiu v khm ngu nhin v l thuyt ni. 32. Qu trnh dng nng cao Advanced stationary processes

35

Chuyn cung cp cho hc vin nhng kin thc nng cao v qu trnh dng (tip ni chuyn Qu trnh dng TNXS 623) i su vo d bo v iu khin qu trnh dng, cc tnh cht ca qu o v phn tch thng k qu trnh dng 33. Phng trnh ton t ngu nhin Random operator equations Chuyn cung cp cho hc vin nhng kin thc c bn v: Phng trnh ngu nhin i s, phng trnh sai phn ngu nhin, phng trnh vi phn ngu nhin phng trnh tch phn ngu nhin, im c nh ngu nhin. 34. H ng lc ngu nhin Random dynamical systems L thuyt h ng lc ngu nhin l lnh vc phn tch dng iu tim cn khi thi gian ln ca mt h tin ha theo thi gian chu cc tc ng bi ting n ngu nhin. Gio trnh trnh by cc khi nim c bn v c h ng lc tt nh v ngu nhin vi cc th d t n gin n phc tp. Gio trnh cp n c hai trng hp thi gian lin tc v thi gian ri rc. Cc bi ton lin tc c trnh by da trn cc l thuyt v phng trnh vi phn. Cc phng php s c s dung minh ha cho thi gian ri rc. 35. Cc nh l gii hn trong l thuyt xc sut Limit theorems in Probability Chuyn cung cp cho hc vin nhng kin thc c bn v: nh l gii hn Gauss, nh l gii hn Poisson suy rng, lut n nh v min hp dn, nh l gii hn trung tm tng qut cho bng tam gic, nh l gii hn trung tm trn khng gian Banach 36. M Phng Ngu Nhin v ng Dng Random Simulation Method and Its Applications Mn hc cung cp cc phng php to ra cc lot dy quan st c lp v mt i lng ngu nhin, vc t ngu nhin, v xch Markov; s dng ca cc kt qu m phng tnh gn ng cc tch phn xc nh, tch phn bi, tnh tng ca mt chui, tm nghim gn ng ca h PT i tuyn, cc phng trnh i s, cc PT tch phn, cc PTVP thng v PT o hm ring, gii cc bi ton ti u. 37. L thuyt n nh phng trnh vi phn ngu nhin Stability Theory of Stochastic Differential equations Stochastic differential equations are motivated by the theory and analysis of stochastic processes and by applications such as stochastic control, population biology, and turbulence, where the analysis and control of such systems involves investigating their stability. While the theory of

36

such equations is well established, the study of their stability properties has grown rapidly only in the past 20 years, and most results have remained scattered in journals and conference proceedings. This lecture offers a systematic presentation of the modern theory of the stability of stochastic differential equations - particularly finite dimensional spaces. The treatment includes a review of basic concepts and investigation of the stability theory of linear and nonlinear stochastic differential equations and stochastic functional differential equations. The final chapter explores topics and applications such as stochastic optimal control and feedback stabilization, stochastic reaction-diffusion, Navier-Stokes equations, and stochastic population dynamics. In recent years, this area of study has become the focus of increasing attention, and the relevant literature has expanded greatly. Stability of Stochastic Differential Equations with Applications makes up-to-date material in this important field accessible even to newcomers and lays the foundation for future advances 38. Cc M Hnh Ngu Nhin Trong Ti Chnh Stochastic Models in Finance Mn hc cung cp cc m hnh v bin ng ca gi ca cc loi chng khon, m hnh v li sut vi thi gian ri rc v lin tc, cc phng php c lng cc tham s ca m hnh, ng dng ca cc m hnh cho cc ti sn c bn ( underlying asset) nh gi hp l cc phi phiu ( derivatives) hoc tri phiu c ri ro. 39. Phng php tim cn trong phng trnh vi phn ngu nhin Asymptotic methods in Stochastic Differential equations This course reviews same results on the asymptotic behavior of solutions of differential equations with deterministic or random coefficients when the oscillation in the coefficients tends to become more and more r a p i d. I n case the coefficients are deterministic periodic functions, a good deal of concrete information can be obtained in a variety of situations [1]. For the random case results concerning partial differential equations are only now beginning to emerge. The course focusses on initial value problems; boundary value problems 40. L thuyt lc ngu nhin Stochastic filtering Theory Structural and probabilistic modelling, parameter estimation, state estimation, the Bayesian approach, statistical approach, the Bayesian recursive relation as a general solution of state estimation problem for stochastic system in discrete state space representation State estimation of linear Gaussian system, derivation of the Kalman filter from the Bayesian recursive relation, linear filtering, what happens in case of nonlinear system or nongaussian random variables, classification of nonlinear filters, local and global filters The Extended Kalman Filter, the Iteration Filter, the Second Order Filter Derivative-free filters: the Unscented Kalman filter, the Difference filter

37

Analytical approach, the Gaussian sum filter, Gaussian sum representation, linear system with nongaussian noises, nonlinear system with Gaussian noises, special cases, abrupt changes of parameters, outliers Simulation approach, simulation Monte Carlo methods, particle filters Multi model approach and the Gaussian sum method, applications Numerical approach, basic and advanced point mass methods The Cramer Rao bounds as a tool for quality evaluation of the nonlinear filters 41. Thng k cc qu trnh ngu nhin STATISTICAL INFERENCE IN STOCHASTIC PROCESSES. The following topics are the principal ones investigated under this lecture: (1) Hypothesis testing for diffusion or Poisson-like processes. (2) Hilbert space methods in time series analysis. (3) Limit distributions of branching processes. (4) Hausdorff dimension in stochastic processes. (5) Sufficient statistics for stochastic processes. (6) Absolute continuity and orthogonality of stochastic processes. (7) Subordination of stochastic processes. (8) Slowly varying functions in probability. (9) Mixture problems and the Glivenko-Cantelli Theorem. (10)Random power series. 42. L thuyt qu trnh ph v qu trnh im khng gian Theory of coverage processes and spatial point processes Trnh by v cc khong ph trn ng thng , phn phi ca di ph ,xc sut ph hon ton . Cc tnh cht c vng trng trong R1 v trong nhiu chiu , M hnh Boolean . Trnh by v phng php khong cch gia cc bin c , khong cch ti ln cn gn nht, khong cch t im ti bin c gn nht. Trnh by v hm cng bc hai K(t) , cc c lng cho hm K(t). 44. L thuyt cc phn b chia v hn Infinitely divisible distribution Chuyn cung cp cho hc vin nhng kin thc c bn v phn b xc sut chia v hn trn ng thng thc v trn khng gian Banach, trong nhn mnh n cc trng hp ring thn cht l cc phn b Gauss v phn b n nh . Mi lin h gia l thuyt ny v hnh hc trn khng gian Banach v cc ton t tng ho cng c cp. 45. Hnh hc ngu nhin Stochastic geometry Cung cp cc kt qu c bn v phng php nghin cu trong hnh hc ngu nhin. Gii thiu cc php ton trn cc tp con ca khng gian Eclid . Trnh by cc kt qu ca qu trnh im ( Poisson dng , Poisson tng qut , qu trnh im tng qut : o moment v cc i

38

lng lin quan ,phn phi Palm , o moment cp hai ) . Trnh by v tp ng ngu nhin . Gii thiu qu trnh ngu nhin ca cc i tng hnh hc . Gii thiu v khm ngu nhin v l thuyt ni.

39

You might also like