- Class Number 2590
- Term Code 3030
- Class Info
- Unit Value 6 units
- Mode of Delivery In Person
- Dr Kevin Lu
- Dr Kevin Lu
- Class Dates
- Class Start Date 24/02/2020
- Class End Date 05/06/2020
- Census Date 08/05/2020
- Last Date to Enrol 02/03/2020
The content for this Special Topics course is not fixed, but will be determined by the lecturer(s) of the course. Details for a specific offering of the course can be found in the class summary.
Upon successful completion, students will have the knowledge and skills to:
- Demonstrate an understanding of the topics outlined in the class summary.
- Demonstrate an application of concepts associated with the topics studied, as discussed by the course convener.
ANU has a rich history of research in the area of applied probability and stochastic processes. The lecturer and other RSFAS staff members are active researchers in this area. Relevant staff members have a keen interest to attract talented students for research projects.
Examination Material or equipment
Paper-based dictionary, no approval (must be clear of all annotations); calculator (non-programmable).
Course and Lecture Notes will be made available on WATTLE.
PRELIMINARY READING (available as e-reserve):
STAT2005 Introduction to Stochastic Processes. Sheldon Ross, Introduction to probability models. 11th ed.
RECOMMENDED READING (Available as 2-days reserve of the Hancock library):
Peter J. Brockwell, Richard A. Davis, Introduction to time series and forecasting. 2nd ed, Springer New York, 2002
Samuel Karlin and Howard M. Taylor (K & T), A second course in stochastic processes.
Fima Klebaner (FK) Introduction to stochastic calculus with applications. 3rd ed, Hackensack, N.J. : Imperial College Press, 2012
RECOMMENDED READING (available as e-reserve):
Ngai Hang Chan and Hoi Ying Wong (C & W). Simulation techniques in financial risk management, 2nd ed.
Students will be given feedback in the following forms in this course:
- written comments
- verbal comments
- feedback to whole class
ANU is committed to the demonstration of educational excellence and regularly seeks feedback from students. Students are encouraged to offer feedback directly to their Course Convener or through their College and Course representatives (if applicable). The feedback given in these surveys is anonymous and provides the Colleges, University Education Committee and Academic Board with opportunities to recognise excellent teaching, and opportunities for improvement. The Surveys and Evaluation website provides more information on student surveys at ANU and reports on the feedback provided on ANU courses.
|Week/Session||Summary of Activities||Assessment|
|1||Gaussian random variables, covariance matrix, best linear prediction|
|2||Stationary processes in discrete time, covariance function, spectral density, transfer function, ARMA, causality and invertibility|
|3||Stationary processes in discrete time, covariance function, spectral density, transfer function, ARMA, causality and invertibility|
|4||Stationary processes in continuous time, covariance function, spectral density, transfer function, white noise, linear differential equation with white noise||Assignment 1 due|
|5||Stationary processes in continuous time, covariance function, spectral density, transfer function, white noise, linear differential equation with white noise|
|6||Diffusions (excerpts from Chapter 15 in K & T)|
|7||Diffusions (excerpts from Chapter 15 in K & T)||Mid-semester Exam|
|8||Diffusions (excerpts from Chapter 15 in K & T)|
|9||Stochastic differential equations (excerpts from FK and C & W)|
|10||Stochastic differential equations (excerpts from FK and C & W)||Assignment 2 due|
|11||Stochastic differential equations (excerpts from FK and C & W)||Contributed Talks|
|12||Further topics in stochastic processes|
Tutorial signup for this course will be done via the Wattle website.
Detailed information about signup times will be provided on Wattle.
When tutorials are available for enrolment, follow these steps:
1. Log on to Wattle, and go to the course site
2. Click on the link “Tutorial enrolment”
3. On the right of the screen, click on the tab “Become Member of…..” for the tutorial class you wish to enter
4. Confirm your choice If you need to change your enrolment, you will be able to do so by clicking on the tab “Leave group….” and then re-enrol in another group. You will not be able to enrol in groups that have reached their maximum number. Please note that enrolment in ISIS must be finalised for you to have access to Wattle.
|Assessment task||Value||Due Date||Return of assessment||Learning Outcomes|
|Assignment 1||5 %||30/03/2020||03/04/2020||1,2|
|Mid-semester Exam||15 %||20/04/2020||04/05/2020||1,2|
|Assignment 2||5 %||15/05/2020||29/05/2020||1,2|
|Contributed talk||10 %||20/05/2020||27/05/2020||1,2|
|Final Examination||65 %||04/06/2020||*||1,2|
* If the Due Date and Return of Assessment date are blank, see the Assessment Tab for specific Assessment Task details
ANU has educational policies, procedures and guidelines, which are designed to ensure that staff and students are aware of the University’s academic standards, and implement them. Students are expected to have read the Academic Misconduct Rule before the commencement of their course. Other key policies and guidelines include:
The ANU is using 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. For additional information regarding Turnitin please visit the ANU Online website. In rare cases where online submission using Turnitin software is not technically possible; or where not using Turnitin software has been justified by the Course Convener and approved by the Associate Dean (Education) on the basis of the teaching model being employed; students shall submit assessment online via ‘Wattle’ outside of Turnitin, or failing that in hard copy, or through a combination of submission methods as approved by the Associate Dean (Education). The submission method is detailed below.
Moderation of Assessment
Marks that are allocated during Semester are to be considered provisional until formalised by the College examiners meeting at the end of each Semester. If appropriate, some moderation of marks might be applied prior to final results being released.
Final Examination is compulsory. Further information about the Final Examination will be provided in class and on Wattle closer to the exam date. Centrally administered examinations through Examinations, Graduations & Prizes will be timetabled prior to the examination period. Please check ANU Timetabling for further information. Exam scripts will not be returned.
Assessment Task 1
Learning Outcomes: 1,2
The assignment covers material from Week 1-3. Assignment questions are published on WATTLE on the Monday in the week before the assignment is due. The assignment is due at Friday 18:00 (6:00PM) in Week 4. You may type your answer in a type-setting software or you may hand-write parts of your answers. Please ensure that your handwriting is legible. Assignments will be submitted using WATTLE.
Assessment Task 2
Learning Outcomes: 1,2
The mid-semester exam covers material from Week 1-6. The mid-semester exam will be held in Week 7. Additional information will be available by the end of Week 6. If the mid-semester exam is not attempted, the marks are redeemed towards the final exam. Redeemed means the final raw mark is taken as a maximum over the weighting with the assessment and without. The exam writing time will be 50 minutes.
Assessment Task 3
Learning Outcomes: 1,2
The assignment covers material from Week 7-9. Assignment questions are published on WATTLE on the Monday in the week before the assignment is due. The assignment is due at Friday 18:00 (6:00PM) in Week 10. You may type your answer in a type-setting software or you may hand-write parts of your answers. Please ensure that your handwriting is legible. Assignments will be submitted using WATTLE.
Assessment Task 4
Learning Outcomes: 1,2
Students may contribute a talk. The student and the lecturer will agree on a topic relating the content of the course, and time of the talk, two weeks before the talk. If the student does not contribute a talk, or the student agreed to contribute a talk while being absent on the agreed time, the marks are redeemed towards the final exam. Redeemed means the final raw mark is taken as a maximum over the weighting with the assessment and without. The talks will be given to the class. The talk will be assessed based on the quality of the content and presentation. Additional information will be available by the end of Week 8.
Assessment Task 5
Learning Outcomes: 1,2
Final Examination is compulsory. Further information about the Final Examination will be provided in class and on Wattle by the end of Week 12. Centrally administered examinations through Examinations, Graduations & Prizes will be timetabled prior to the examination period. Please check ANU Timetabling for further information. Exam scripts will not be returned. The exam writing time will be 3 hours.
Academic integrity is a core part of the ANU culture as a community of scholars. At its heart, academic integrity is about behaving ethically, committing to honest and responsible scholarly practice and upholding these values with respect and fairness.
The ANU commits to assisting all members of our community to understand how to engage in academic work in ways that are consistent with, and actively support academic integrity. The ANU expects staff and students to be familiar with the academic integrity principle and Academic Misconduct Rule, uphold high standards of academic integrity and act ethically and honestly, to ensure the quality and value of the qualification that you will graduate with.
The Academic Misconduct Rule is in place to promote academic integrity and manage academic misconduct. Very minor breaches of the academic integrity principle may result in a reduction of marks of up to 10% of the total marks available for the assessment. The ANU offers a number of online and in person services to assist students with their assignments, examinations, and other learning activities. Visit the Academic Skills website for more information about academic integrity, your responsibilities and for assistance with your assignments, writing skills and study.
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.
For some forms of assessment (hand written assignments, art works, laboratory notes, etc.) hard copy submission is appropriate when approved by the Associate Dean (Education). Hard copy submissions must utilise the Assignment Cover Sheet. Please keep a copy of tasks completed for your records.
Late submission not permitted. If submission of assessment tasks without an extension after the due date is not permitted, a mark of 0 will be awarded.
Accepted academic practice for referencing sources that you use in presentations can be found via the links on the Wattle site, under the file named “ANU and College Policies, Program Information, Student Support Services and Assessment”. Alternatively, you can seek help through the Students Learning Development website.
Assignments will be graded and returned on WATTLE.
Extensions and Penalties
Extensions and late submission of assessment pieces are covered by the Student Assessment (Coursework) Policy and Procedure. Extensions may be granted for assessment pieces that are not examinations or take-home examinations. If you need an extension, you must request an extension in writing on or before the due date. If you have documented and appropriate medical evidence that demonstrates you were not able to request an extension on or before the due date, you may be able to request it after the due date.
Resubmission of Assignments
Resubmission of assignments is not allowed.
Distribution of grades policy
Academic Quality Assurance Committee monitors the performance of students, including attrition, further study and employment rates and grade distribution, and College reports on quality assurance processes for assessment activities, including alignment with national and international disciplinary and interdisciplinary standards, as well as qualification type learning outcomes.
Since first semester 1994, ANU uses a grading scale for all courses. This grading scale is used by all academic areas of the University.
Support for students
The University offers students support through several different services. You may contact the services listed below directly or seek advice from your Course Convener, Student Administrators, or your College and Course representatives (if applicable).
- ANU Health, safety & wellbeing for medical services, counselling, mental health and spiritual support
- ANU Diversity and inclusion for students with a disability or ongoing or chronic illness
- ANU Dean of Students for confidential, impartial advice and help to resolve problems between students and the academic or administrative areas of the University
- ANU Academic Skills and Learning Centre supports you make your own decisions about how you learn and manage your workload.
- ANU Counselling Centre promotes, supports and enhances mental health and wellbeing within the University student community.
- ANUSA supports and represents undergraduate and ANU College students
- PARSA supports and represents postgraduate and research students
Stochastic processes, probability theory, mathematical finance, statistics.
Dr Kevin Lu