• 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
• Course convener
• Prof Andrew Wood
• Mode of delivery In Person
• Offered in Second Semester 2022
Introduction to Stochastic Processes (STAT2005)

This course involves on campus teaching. For students unable to come to campus there will be a remote option. See the Class Summary for more details.

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.

## Learning Outcomes

Upon successful completion, students will have the knowledge and skills to:

1. Articulate basic concepts of stochastic processes in discrete time, especially concerning Markov chains, their classifications and long-run behaviour; and
2. Critically analyse continuous-time stochastic processes, with topics drawn from Poisson processes, other Markov pure jump processes, Brownian motion and other (related) Gaussian processes.

## Indicative Assessment

1. Typical assessment may include, but is not restricted to: exams, assignments, quizzes, presentations and other assessment as appropriate (100) [LO 1,2]

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.

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.

Not applicable

## Requisite and Incompatibility

To enrol in this course you must have met the following requirements: Completed STAT2001 or STAT2013; and Completed MATH1113 or MATH1014 or have completed or be concurrently enrolled in MATH1116. Incompatible with STAT7004.

## Prescribed Texts

Information about the prescribed textbook will be available via the Class Summary.

## Assumed Knowledge

Whilst concurrent enrollment with MATH1116 is possible, students are recommended to have completed MATH1116 before this course if their program structure allows it.

## Fees

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

Commonwealth Support (CSP) Students
If you 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). More information about your student contribution amount for each course at Fees

Student Contribution Band:
1
Unit value:
6 units

If you are a domestic graduate coursework student with a Domestic Tuition Fee (DTF) place or international student you will be required to pay course tuition fees (see below). Course tuition fees are indexed annually. Further information for domestic and international students about tuition and other fees can be found 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

## Course fees

Domestic fee paying students
Year Fee
2022 \$4200
International fee paying students
Year Fee
2022 \$6000
Note: Please note that fee information is for current year only.

## Offerings, Dates and Class Summary Links

The list of offerings for future years is indicative only.
Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.

### Second Semester

Class number Class start date Last day to enrol Census date Class end date Mode Of Delivery Class Summary
5848 25 Jul 2022 01 Aug 2022 31 Aug 2022 28 Oct 2022 In Person View