37464 Advanced Stochastic Processes

6cp
Requisite(s): 35361 Stochastic Processes OR 37363 Stochastic Processes and Financial Mathematics
These requisites may not apply to students in certain courses.
There are course requisites for this subject. See access conditions.
Anti-requisite(s): 35466 Advanced Stochastic Processes

Description

This subject aims to introduce honours students to the mathematical theory and some financial applications of Brownian motion and related processes. It covers the following topics: formal definition of probability space and stochastic processes; Martingales; Riemann-Stieltjes integration; Brownian motion and related processes; stochastic calculus and stochastic differential equations; and financial applications.

Detailed subject description.

Access conditions

Note: The requisite information presented in this subject description covers only academic requisites. Full details of all enforced rules, covering both academic and admission requisites, are available at access conditions and My Student Admin.