- 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
All activities that form part of this course will be delivered remotely
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:
- Explain in detail the fundamental concepts of stochastic processes in continuous time and their position in modern statistical and mathematical sciences and applied contexts;
- Demonstrate accurate and efficient use of complex stochastic calculus techniques;
- Demonstrate in depth capacity for mathematical reasoning through analysing, proving and explaining concepts from stochastic analysis; and
- Apply complex problem-solving techniques using stochastic analysis methods in various situations.
- Typical assessment may include, but is not restricted to: exams, assignments, quizzes, presentations and other assessment as appropriate (100) [LO 1,2,3,4]
In response to COVID-19: Please note that Semester 2 Class Summary information (available under the classes tab) is as up to date as possible. Changes to Class Summaries not captured by this publication will be available to enrolled students via Wattle.
Students are expected to commit 130 hours of work in completing this course. This includes time spent in scheduled classes and self-directed study time.
Requisite and Incompatibility
Information about the prescribed textbook will be available via the Class Summary.
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
Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.