- Code STAT7006
- 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 STAT7018, 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 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 AssessmentTypical assessment may include, but is not restricted to: assignments
Requisite and Incompatibility
Assumed KnowledgeStudents will require a good background in elementary stochastic processes and probability theory such as introduced in STAT7004 and STAT7018.
Tuition fees are for the academic year indicated at the top of the page.
- Student Contribution Band:
- Unit value:
- 6 units
Offerings, Dates and Class Summary Links
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