STAT4061 Probability and Stochastic Processes

Credit
6 points
Offering
(see Timetable)
AvailabilityLocationMode
Semester 1UWA (Perth)Face to face
Details for undergraduate courses
  • Level 4 elective
  • Honours option in Mathematics and Statistics [Bachelor of Science (Honours)]
Content
This unit introduces advanced notions and applications of probability and random processes. A selection of topics from the following list are covered: time series, Markov processes, diffusion processes, Brownian motion, point processes, Ito calculus and stochastic differential equations and Martingales. Some of these topics require advanced probability theory which, if necessary, are covered first, and emphasise complex modelling suitable for many application areas (e.g. Black-Scholes option pricing theory in finance) and involves extensive numerical computation.
Outcomes
Students are able to (1) apply concepts of probability theory and different stochastic models to analyse problems arising in a variety of applied fields; (2) have knowledge of advanced mathematical and probabilistic techniques, and adapt their applications to different situations; (3) communicate effectively the acquired skills to others, including presenting analytic results and their applications in a logical and coherent fashion; and (4) undertake continuous learning in probability modelling and its applications.
Assessment
Indicative assessments in this unit are as follows: (1) assignments and (2) tests. Further information is available in the unit outline.

Supplementary assessment is not available in this unit.
Unit Coordinator(s)
Professor Lyle Noakes
Unit rules
Prerequisites:
STAT3061 Random Processes and their Applications
or
STAT3401 Advanced Data Analysis
Contact hours
3 hours per week
Unit Outline
Semester 1_2019 [SEM-1_2019]
  • The availability of units in Semester 1, 2, etc. was correct at the time of publication but may be subject to change.
  • All students are responsible for identifying when they need assistance to improve their academic learning, research, English language and numeracy skills; seeking out the services and resources available to help them; and applying what they learn. Students are encouraged to register for free online support through GETSmart; to help themselves to the extensive range of resources on UWA's STUDYSmarter website; and to participate in WRITESmart and (ma+hs)Smart drop-ins and workshops.
  • Books and other material wherever listed may be subject to change. Book lists relating to 'Preliminary reading', 'Recommended reading' and 'Textbooks' are, in most cases, available at the University Co-operative Bookshop (from early January) and appropriate administrative offices for students to consult. Where texts are listed in the unit description above, an asterisk (*) indicates that the book is available in paperback.