- Code STAT3006
- 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
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 STAT3004, as well as to substantially enhance students' depth of knowledge in the mathematical underpinning of stochastic process theory.
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 the fundamental concepts of stochastic processes in continuous time and their position in modern statistical and mathematical sciences and applied contexts;
2. Demonstrate accurate and efficient use of stochastic calculus techniques;
3. Demonstrate capacity for mathematical reasoning through analyzing, proving and explaining concepts from stochastic analysis;
4. Apply problem-solving using stochastic analysis methods in various situations.
See the course outline on the College courses page. Outlines are uploaded as they become available.
Indicative AssessmentTypical assessment may include, but is not restricted to: assignments
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Students are expected to commit at least 10 hours per week to completing the work in this course. This will include at least 3 contact hours per week and up to 7 hours of private study time.
Requisite and Incompatibility
Assumed KnowledgeStudents will require a good background in elementary stochastic processes and probability theory such as introduced in STAT2004 and STAT3004.
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
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.
Offerings, Dates and Class Summary Links
Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.