- Code STAT3004
- Unit Value 6 units
- 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, Finance, Statistics
- Academic career UGRD
- Dr Boris Buchmann
- Mode of delivery In Person
Second Semester 2016
See Future Offerings
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.
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.
See the course outline on the College courses page. Outlines are uploaded as they become available.
- Mid-semester assignment 20%
- Final exam (3 hours) 80%
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Three contact hours per week plus private study time.
Requisite and Incompatibility
Tuition fees are for the academic year indicated at the top of the page.
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- Student Contribution Band:
- Unit value:
- 6 units
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Offerings, Dates and Class Summary Links
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Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.
|Class number||Class start date||Last day to enrol||Census date||Class end date||Mode Of Delivery||Class Summary|
|8073||18 Jul 2016||29 Jul 2016||31 Aug 2016||28 Oct 2016||In Person||N/A|