• 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
  • Academic career UGRD
  • Course convener
    • AsPr Boris Buchmann
  • Mode of delivery In Person
  • Co-taught Course
  • Offered in Second Semester 2019
    See Future Offerings

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 STAT3004, as well as to substantially enhance students' depth of knowledge in the mathematical underpinning of stochastic process theory. 

Learning Outcomes

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 the fundamental concepts of stochastic processes in  continuous time and their position in modern statistical and mathematical sciences and applied contexts;
2. Demonstrate accurate and efficient use of stochastic calculus techniques;
3. Demonstrate capacity for mathematical reasoning through analyzing, proving and explaining concepts from stochastic analysis;
4. Apply problem-solving using stochastic analysis methods in various situations.

Other Information

See the course outline on the College courses page. Outlines are uploaded as they become available. 

Indicative Assessment

Typical assessment may include, but is not restricted to: assignments

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.

Workload

Students are expected to commit at least 10 hours per week to completing the work in this course. This will include at least 3 contact hours per week and up to 7 hours of private study time.

Requisite and Incompatibility

To enrol in this course you must have completed STAT3004.

Assumed Knowledge

Students will require a good background in elementary stochastic processes and probability theory such as introduced in STAT2004 and STAT3004.

Fees

Tuition fees are for the academic year indicated at the top of the page.  

If you are a domestic graduate coursework or international student you will be required to pay tuition fees. Tuition fees are indexed annually. Further information for domestic and international students about tuition and other fees can be found at Fees.

Student Contribution Band:
2
Unit value:
6 units

If you are an undergraduate student and have been offered a Commonwealth supported place, your fees are set by the Australian Government for each course. At ANU 1 EFTSL is 48 units (normally 8 x 6-unit courses). You can find your student contribution amount for each course at Fees.  Where there is a unit range displayed for this course, not all unit options below may be available.

Units EFTSL
6.00 0.12500
Domestic fee paying students
Year Fee
2019 $3840
International fee paying students
Year Fee
2019 $5460
Note: Please note that fee information is for current year only.

Offerings and Dates

The list of offerings for future years is indicative only

Second Semester

Class number Class start date Last day to enrol Census date Class end date Mode Of Delivery Class Summary
9065 22 Jul 2019 29 Jul 2019 31 Aug 2019 25 Oct 2019 In Person N/A

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