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Unit of study_

Stochastic Analysis - MATH4512

Year - 2020

Capturing random phenomena is a challenging problem in many disciplines from biology, chemistry and physics through engineering to economics and finance. There is a wide spectrum of problems in these fields, which are described using random processes that evolve with time. Hence it is of crucial importance that applied mathematicians are equipped with tools used to analyse and quantify random phenomena. This unit will introduce an important class of stochastic processes, using the theory of martingales. You will study concepts such as the Ito stochastic integral with respect to a continuous martingale and related stochastic differential equations. Special attention will be given to the classical notion of the Brownian motion, which is the most celebrated and widely used example of a continuous martingale. By completing this unit, you will learn how to rigorously describe and tackle the evolution of random phenomena using continuous time stochastic processes. You will also gain a deep knowledge about stochastic integration, which is an indispensable tool to study problems arising, for example, in Financial Mathematics.

Classes
lecture 3 hrs/week, tutorial 1 hr/week for 13 weeks

Assessment
2 x homework assignment (20% each), final exam (60%)

Assumed knowledge
Students should have a sound knowledge of probability theory and stochastic processes from, for example, STAT2X11 and STAT3021 or equivalent.

Details

Faculty: Science

Semester 2

03 Aug 2020

Department/School: Mathematics and Statistics Academic Operations
Study Mode: Normal (lecture/lab/tutorial) day
Census Date: 31 Aug 2020
Unit of study level: Honours
Credit points: 6.0
EFTSL: 0.125
Available for study abroad and exchange: Yes
Faculty/department permission required? No
Location
Camperdown
Courses that offer this unit

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