- Code MATH3029
- Unit Value 6 units
- Offered by Mathematical Sciences Institute
- ANU College ANU Joint Colleges of Science
- Course subject Mathematics
- Areas of interest Economics, Finance, Mathematics, Theoretical Physics
The course introduces probability theory, including probability spaces, random variables, conditional probability and independence, limit theorems, and Markov chains, with an introduction to Brownian motion. The course will provide students with a solid theoretical foundation for probability theory, as well as describing some practical applications of probability in information theory and option pricing.
The course will provide a sound foundation to progress to MATH3015 (Stochastic Analysis with Financial Applications), as well as other honours and post-graduate courses emphasizing the theory of mathematical finance and stochastic analysis.
Note: This is an HPC.
Upon successful completion, students will have the knowledge and skills to:
- Understand and use fundamental concepts of probability theory
- Demonstrate accurate and efficient use of probability theory techniques, including limiting processes
- Solve problems using probabilistic methods and ideas
- Demonstrate capacity for mathematical reasoning through analyzing, proving and explaining concepts from probability theory
- Assignments (30) [LO 1,2,3,4]
- Participation in lectures and workshops (quizzes, presentations, group work) (5) [LO 1,2,3]
- Mid-semester Exam (25) [LO 1,2,3,4]
- Final Exam (40) [LO 1,2,3,4]
In response to COVID-19, ANU has changed the mode of delivery for all classes in Semester 1 2020 to remote delivery.
Semester 1 Class Summary information (available under the Classes tab) on this publication is as up to date as possible. Changes to Class Summaries not captured by this publication will be available via Wattle and students should have been advised by the offering College. Find out more information on the University's response to COVID-19 here.
WorkloadThree lectures per week and regular workshops.
Requisite and Incompatibility
Prescribed TextsStochastics: Introduction to Probability and Statistics by Hans-Otto Georgii, de Gruyter, 2nd edition.
Course notes will also be provided to students.
Calculus, linear algebra and basic real analysis. It is strongly recommended that students have successfully completed MATH2320 or MATH3116 prior to taking this course, or at the very least MATH1116. Some knowledge of measure theory would be helpful, but it is not essential to take this course.
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.