- Class Number 5848
- Term Code 3260
- Class Info
- Unit Value 6 units
- Mode of Delivery In Person
- Prof Andrew Wood
- Prof Andrew Wood
- Class Dates
- Class Start Date 25/07/2022
- Class End Date 28/10/2022
- Census Date 31/08/2022
- Last Date to Enrol 01/08/2022
- Yifu Tang
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:
- Articulate basic concepts of stochastic processes in discrete time, especially concerning Markov chains, their classifications and long-run behaviour; and
- Critically analyse continuous-time stochastic processes, with topics drawn from Poisson processes, other Markov pure jump processes, Brownian motion and other (related) Gaussian processes.
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, with a keen interest in attracting talented students for research projects.
Examination Material or equipment
You will require reliable access to Wattle and a calculator for the duration of the online exam. You may use R for numerical calculations if you wish.
All required course materials will be made available on Wattle.
The lecture notes have been designed to be self-contained and consequently purchase of textbooks is OPTIONAL. No particular book is recommended but there are many books that contain relevant material, including:
- Introduction to Probability Models (11th Edition, 2014) by Sheldon Ross, available as an ebook through ANU library at http://library.anu.edu.au/record=b3573439
- A First Course in Stochastic Processes (1975) by S. Karlin and H.M. Taylor, available in the Hancock Library on a 2 hour reserve
- Markov Chains (1997) by J.R. Norris, available in the Hancock Library on a 2 hour reserve
Students will be given feedback in the following forms in this course:
- written comments
- verbal comments
- feedback to whole class, groups, individuals, focus groups etc.
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||Revision of Elementary Probability Theory|
|3||Conditional Probability and Conditional Expectation||Assessment 1 to be released|
|4||Markov Chains 1|
|5||Markov Chains 2||Assignment 1 due|
|6||Markov Chains 3||Assessment 2 to be released|
|7||The Exponential Distribution and Poisson Processes 1|
|8||The Exponential Distribution and Poisson Processes 2||Assignment 2 due|
|9||Continuous-time Markov Chains 1||Assessment 3 to be released|
|10||Continuous-time Markov Chains 2|
|11||Brownian Motion, Gaussian Processes and Stationarity||Assignment 3 due|
|12||Applications to Actuarial Studies|
Tutorials will be available on campus, live through scheduled Zoom sessions and as pre-recorded videos. Information regarding enrolments for these options will be provided on MyTimetable during Week 0 of the semester. "ANU utilises MyTimetable to enable students to view the timetable for their enrolled courses, browse, then self-allocate to small teaching activities / tutorials so they can better plan their time. Find out more on the Timetable webpage (https://www.anu.edu.au/students/program-administration/timetabling)".
|Assessment task||Value||Due Date||Return of assessment||Learning Outcomes|
|Assignment 1||10 %||26/08/2022||02/09/2022||1|
|Assignment 2||10 %||30/09/2022||14/10/2022||1|
|Assignment 3||10 %||21/10/2022||28/10/2022||2|
|Final Examination||70 %||03/11/2022||19/11/2022||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 Academic Integrity . 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.
Course content delivery will take the form of 3 hours of in-person lectures per week which will be recorded and subsequently made available via Echo360 on Wattle. In addition there will be a one hour workshop per week in person which will be recorded and subsequently made available via Echo360 on Wattle. The workshops will typically be student-led rather than lecturer-led and will provide plenty of opportunity to ask questions about and discuss the contents of the course.
The exam will be centrally scheduled though Examinations, Graduations & Prizes and will be timetabled prior to the Semester 2 examination period. Please check ANU Timetabling for further information.
Assessment Task 1
Learning Outcomes: 1
Provide detailed solutions to questions based on material from Weeks 1 to 3. Assignment 1 will be made available on Wattle before 3pm on Friday 12 August 2022 and will be due before 3pm on Friday 26 August 2022. When completed, solutions to Assignment 1 (including the declaration sheet) should be submitted to Wattle in a single pdf file. Options for producing this pdf file are: (i) using a text processing package such as latex to produce a pdf document; or (ii) scanning hand-written solutions into a pdf document; or (iii) photographing hand-written solutions into a pdf document. If you use options (ii) or (iii), please ensure that your handwriting is legible. Assignments will be graded and marks will be returned via Wattle.
Assessment Task 2
Learning Outcomes: 1
Provide detailed solutions to questions based on material from Weeks 4 to 6. Assignment 2 will be made available before 3pm on Friday 16 September 2022 and will be due before 3pm on Friday 30 September 2022. Details concerning the submission of your solutions and return of the marks are the same as for Assignment 1.
Assessment Task 3
Learning Outcomes: 2
Provide detailed solutions to questions based on material from Weeks 7 to 10. Assignment 3 will be made available before 3pm on Friday 7 October 2022 and will be due before 3pm on Friday 21 October 2022. Details concerning the submission of your solutions and return of the marks are the same as for Assignment 1.
Assessment Task 4
Learning Outcomes: 1,2
The final examination will be a Wattle-based online exam during the university examination period at the end of the semester. The exam will be 3 hours long (plus 15 minutes reading time plus 15 minutes online submission time) and will cover the entire syllabus. It will be open book and all materials are permitted. The exam will be centrally timetabled and details of the final examination timetable will be made available on the ANU Timetabling website.
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.
You will be required to electronically sign a declaration as part of the submission of your assignment. Please keep a copy of the assignment for your records. Unless an exemption has been approved by the Associate Dean (Education) submission must be through Turnitin.
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.
No submission of assignments after the due date will be permitted without an extension approved by the Convenor before the deadline. If an assignment is not submitted by the due date, and no extension has been approved, 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 marks will be returned via 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
No resubmission of assignments is permitted.
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
Statistical inference, non-Euclidean statistics, asymptotic methods in statistics, applied probability, stochastic differential equations
Prof Andrew Wood
Prof Andrew Wood