• Offered by Rsch Sch of Finance, Actuarial Studies & App Stats
• ANU College ANU College of Business and Economics
• Course subject Statistics
• Areas of interest Actuarial Studies, Statistics
• Course convener
• Dr Boris Buchmann
• Mode of delivery In Person
• Offered in Second Semester 2014
Stochastic Modelling (STAT3004)

This course is an introduction to the field of stochastic processes, which are ordered collections of (generally dependent) random variables, usually indexed by either time or space. They are used to model dynamic relationships involving random events in a wide variety of disciplines including engineering, the natural and social sciences as well as financial, managerial and actuarial settings.

The course consists of four parts. The first consisting of a short review of basic probability concepts and a discussion of conditional probability and conditional expectation. The second and third, which will comprise the majority of the lectures, present an introduction to the basic concepts and an investigation of the long-run behaviour, respectively, of simple stochastic processes in discrete time; namely, Markov chains. Finally, the fourth section will be comprised of various topics regarding some important forms of continuous-time stochastic processes including Poisson processes and other Markov pure jump processes, as well as Brownian motion and other related Gaussian processes as time permits.

## Learning Outcomes

Upon successful completion, students will have the knowledge and skills to:

To achieve an understanding of and facility in:

• Basic concepts and an investigation of the long-run behaviour, respectively, of simple stochastic processes in discrete time; namely, Markov chains.
• Various topics regarding some important forms of continuous-time stochastic processes including
• Poisson processes
• other Markov pure jump processes
• Brownian motion
• other related Gaussian processes.

## Other Information

See the course outline on the College courses page. Outlines are uploaded as they become available.

## Indicative Assessment

• Midterm Test - 10%
• Online Quizzes - 20%
• Final Exam - 70%

The ANU uses Turnitin to enhance student citation and referencing techniques, and to assess assignment submissions as a component of the University's approach to managing Academic Integrity. While the use of Turnitin is not mandatory, the ANU highly recommends Turnitin is used by both teaching staff and students. For additional information regarding Turnitin please visit the ANU Online website.

Three contact hours per week plus private study time.

## Requisite and Incompatibility

To enrol in this course you must have completed STAT 2001 Introductory Mathematical Ststistics

## Fees

Tuition fees are for the academic year indicated at the top of the page.

If you are a domestic graduate coursework or international student you will be required to pay tuition fees. Students continuing in their current program of study will have their tuition fees indexed annually from the year in which you commenced your program. Further information for domestic and international students about tuition and other fees can be found at Fees.

Student Contribution Band:
2
Unit value:
6 units

If you are an undergraduate student and have been offered a Commonwealth supported place, your fees are set by the Australian Government for each course. At ANU 1 EFTSL is 48 units (normally 8 x 6-unit courses). You can find your student contribution amount for each course at Fees.  Where there is a unit range displayed for this course, not all unit options below may be available.

Units EFTSL
6.00 0.12500

## Course fees

Domestic fee paying students
Year Fee Description
1994-2003 \$2784
2014 \$3246
2013 \$3246
2012 \$3090
2011 \$3090
2010 \$3090
2009 \$3090
2008 \$3090
2007 \$3090
2006 \$3090
2005 \$3084
2004 \$3084
International fee paying students
Year Fee
1994-2003 \$2784
2014 \$3762
2013 \$3756
2012 \$3582
2011 \$3582
2010 \$3576
2009 \$3264
2008 \$3264
2007 \$3264
2006 \$3132
2005 \$3084
2004 \$3084
Note: Please note that fee information is for current year only.

## Offerings, Dates and Class Summary Links

ANU utilises MyTimetable to enable students to view the timetable for their enrolled courses, browse, then self-allocate to small teaching activities / tutorials so they can better plan their time. Find out more on the Timetable webpage.

The list of offerings for future years is indicative only.
Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.

### Second Semester

Class number Class start date Last day to enrol Census date Class end date Mode Of Delivery Class Summary
7815 21 Jul 2014 01 Aug 2014 31 Aug 2014 30 Oct 2014 In Person N/A