• 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

The course offers an introduction to modern stochastic processes, including Brownian motion, continuous-time martingales, stochastic integration and Ito's calculus, Markov processes, stochastic differential equations, point processes and their applications. The course will include some applications but will emphasise setting up a solid theoretical foundation for the subject.

The course will provide a sound basis for progression to other honours and post-graduate courses including mathematical finance, stochastic analysis and statistics, and actuarial sciences.

The course aims to round off the rigorous introduction to probabilistic reasoning initiated in STAT7018, as well as to substantially enhance students' depth of knowledge in the mathematical underpinning of stochastic process theory. 

 

Learning Outcomes

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

On satisfying the requirements of this course, students will have the knowledge and skills to:
1. Explain in detail the fundamental concepts of stochastic processes in  continuous time and their position in modern statistical and mathematical sciences and applied contexts;
2. Demonstrate to a high level accurate and efficient use of stochastic calculus techniques;
3. Demonstrate and be able to communicate capacity for mathematical reasoning through analyzing, proving and explaining concepts from stochastic analysis;
4. Apply problem-solving using stochastic analysis methods in various situations.

Indicative Assessment

Typical assessment may include, but is not restricted to: assignments

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.

Requisite and Incompatibility

Prerequisite: STAT7004. Incompatible with STAT3006.

Assumed Knowledge

Students will require a good background in elementary stochastic processes and probability theory such as introduced in STAT7004 and STAT7018.

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
Domestic fee paying students
Year Fee
2017 $3660
International fee paying students
Year Fee
2017 $4878
Note: Please note that fee information is for current year only.

Offerings, Dates and Class Summary Links

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
10021 24 Jul 2017 31 Jul 2017 31 Aug 2017 27 Oct 2017 In Person N/A

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