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Stochastic Processes - MATH5835
 Students on quad lawn

   
   
   
 
Campus: Kensington Campus
 
 
Career: Postgraduate
 
 
Units of Credit: 6
 
 
EFTSL: 0.12500 (more info)
 
 
Indicative Contact Hours per Week: 3
 
 
Fee Band: 5 (more info)
 
 
Further Information: See Class Timetable
 
  

Description

The theory of stochastic processes deals with phenomena evolving randomly in time and/or space, such as prices on financial markets, air temperature or wind velocity, spread of diseases, number of hospital admissions in certain area, and many others. This course introduces some of the basic ideas and tools to study such phenomena. In particular, we will introduce a concept of martingale to study phenomena evolving in discrete time and the concept of Poisson process (and its generalizations) and Brownian Motion to study processes evolving continuously in time. Some applications to statistical inference will also be discussed.

Pre-requisites: 24 units of level III mathematics or a degree in a numerate discipline or permission of the Head of Department.

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