- Code STAT7004
- 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
An introduction to stochastic processes, which are random processes occurring in time or space.
They are used to model dynamic relationships involving random events in a wide variety of disciplines including the natural and social sciences, and in financial, managerial and actuarial settings.
The course consists of a short review of basic probability concepts and a discussion of conditional probability and conditional expectation, followed by an introduction to the basic concepts and an investigation of the long-run behaviour of Markov chains in discrete time, countable state space. The course also covers some important 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:On satisfying the requirements for this course, students will have the knowledge and skills to:
1 Demonstrate the concepts and investigation of the long-run behavior, respectively, of simple stochastic processes in discrete time; namely, Markov chains.
2 Demonstrate in detail the various topics of continuous-time stochastic processes, with topics drawn from:
a Poisson Processes
b other Markov pure jump processes
c Brownian motion
d Other related Gaussian processes
Indicative AssessmentTypical assessment may include, but is not restricted to: quizzes, mid-semester examination and a final examination.
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Requisite and Incompatibility
Assumed KnowledgeStudents will require a good background in introductory mathematical statistics and probability concepts, including random variables, probability distributions, etc.
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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