Stochastic Processes - MATH5835

Faculty: Faculty of Science

School: School of Mathematics and Statistics

Course Outline:

Campus: Kensington Campus

Career: Postgraduate

Units of Credit: 6

EFTSL: 0.12500 (more info)

Indicative Contact Hours per Week: 3

CSS Contribution Charge: 2 (more info)

Tuition Fee: See Tuition Fee Schedule

Further Information: See Class Timetable

View course information for previous years.


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.
Students on quad lawn

Study Levels

UNSW Quick Links