Introduction to stochastic processes, emphasizing both theory and application. Topics include Markov chains, Poisson processes, birth and death processes, queues, and stochastic calculus.
Stochastic processes are intrinsic to many real-world problems and also find application in a number of statistical techniques. This paper introduces both the theory of stochastic processes and their use in modelling physical, biological and financial systems.
|Paper title||Topic in Advanced Statistics|
|Teaching period||Second Semester|
|Domestic Tuition Fees (NZD)||$1,098.05|
|International Tuition Fees (NZD)||$4,352.87|
- Any student interested in techniques that can be used to model many important physical,
biological and financial processes.
Enrolments for this paper require departmental permission. View more information about departmental permission.
- More information link
- View more information for STAT 444
- Teaching staff
- Dr Matthew Parry
- Paper Structure
- Main topics:
- Random walks
- Markov chains
- Poisson processes
- Birth and death processes
- Branching processes
- Gaussian processes
- It?? calculus
- Stochastic differential equations
- Teaching Arrangements
- Three contact hours per week.
- Textbooks are not required for this paper.
- P.W. Jones & P. Smith (2001) Stochastic Processes: An Introduction. Arnold
- D.R. Cox & H.D. Miller (1965) The theory of stochastic processes. Methuen
- J. Michael Steele (2001) Stochastic Calculus and Financial Applications. Springer
- Course outline
- View course outline for STAT 444
- Graduate Attributes Emphasised
- Critical thinking.
View more information about Otago's graduate attributes.
- Learning Outcomes
- Students who successfully complete the paper will demonstrate in-depth understanding of the central concepts and theories.