37363 Stochastic Processes6cp; 4hpw
Requisite(s): (37262 Simulation Modelling AND (35102 Introduction to Analysis and Multivariable Calculus OR 37132 Introduction to Mathematical Analysis and Modelling)) OR (35252 Mathematical Statistics AND 35363 Stochastic Models)
These requisites may not apply to students in certain courses. See access conditions.
Anti-requisite(s): 35361 Stochastic Processes
This subject introduces the mathematics of random processes which are used to describe and predict the behaviour of complex systems. Applications arise across a very wide range of disciplines, from finance and economics, to physics and biology. Topics include: Gaussian-Markov processes including Brownian motion; Markov chains, birth-death processes; Compound Poisson processes, Levy processes; Kalman filtering, elements of time series; diffusion processes and their application to ruin probabilities and financial modelling; Black-Scholes formula.
Spring semester, City campus
Detailed subject description.