35466 Advanced Stochastic Processes

6cp; 3hpw

Requisite(s): 35322 Analysis 2 AND 35361 Probability and Stochastic Processes

These requisites may not apply to students in certain courses. See access conditions.

This subject aims to introduce Honours students to the mathematical theory and some financial applications of Brownian motion and related processes. It covers the following topics: formal definition of probability space and stochastic processes; Martingales; Riemann-Stieltjes integration; Brownian motion and related processes; stochastic calculus and stochastic differential equations; and financial applications.

Assessment: Final examination worth 65 per cent; class test worth 25 per cent; oral presentation worth 10 per cent.

Typical availability

Autumn semester, City campus

Fee information

2007 contribution for post-2004 Commonwealth-supported students: $889.75
2007 amount for undergraduate domestic fee-paying students: $2,220.00
Subject EFTSL: 0.125
Note: The above fees are applicable in 2007 for Commonwealth-supported students who commenced after 2004 and domestic fee-paying undergraduate students only. Pre-2005 Commonwealth-supported students should consult the Student contribution charges for Commonwealth supported students webpage.
Not all students are eligible for Commonwealth supported places, and not all subjects are available to Commonwealth supported students. Domestic fee-paying students and international students should refer to the Fees webpage.

Access conditions

Note: The requisite information presented in this subject description covers only academic requisites. Full details of all enforced rules, covering both academic and admission requisites, are available at Access conditions and My Student Admin.