MATH5901 Stochastic Processes

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MATH5901 is a Honours and Postgraduate Coursework Mathematics course. See the course overview below.

 

Units of credit: 6

Prerequisites:  (MATH2501 or MATH2601) and (MATH2011 or MATH2111) and (MATH2801 or MATH2901)

Exclusion: MATH3801 or MATH3901 (jointly taught with MATH5901) 

Cycle of offering: T1 2021 

Graduate attributes: The course will enhance your research, inquiry and analytical thinking abilities. This course aims to introduce some of the basic ideas and tools of the theory of stochastic processes. 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.

More information: Refer to the Course Outline for information about course objectives, assessment, course materials and the syllabus.

The Online Handbook entry contains information about the course. (The timetable is only up-to-date if the course is being offered this year.)

If you are currently enrolled in MATH5901, you can log into UNSW Moodle for this course.

Course Overview

This course introduces some of the basic ideas and tools to study such phenomena. In particular, we will introduce Markov Chains (both in discrete and continuous time), Poisson processes, Brownian motion and Martingales. The course will also cover other important but less routine topics, like Markov decision processes and some elements of queueing theory.