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
- Mid-semester assignment 20%
- Final exam (3 hours) 80%
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Workload
Three contact hours per week plus private study time.
Requisite and Incompatibility
Majors
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. Tuition fees are indexed annually. 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 |
|---|---|
| 2015 | $3414 |
- International fee paying students
| Year | Fee |
|---|---|
| 2015 | $4146 |
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.
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 |
|---|---|---|---|---|---|---|
| 2199 | 20 Jul 2015 | 07 Aug 2015 | 31 Aug 2015 | 30 Oct 2015 | In Person | N/A |
