Stochastic Processes

(4 Credit Hours) · Undergraduate

A stochastic process is a mathematical model of time-dependent random phenomena and is employed in numerous fields of application, including economics, finance, insurance, physics, biology, chemistry and computer science. This unit will establish basic properties of discrete-time Markov chains including random walks and branching processes. This unit will derive key results of Poisson processes and simple continuous-time Markov chains. This unit will investigate simple queuing theory. This unit will also introduce basic concepts of Brownian motion and martingales. Throughout the unit, various illustrative examples are provided in modelling and analysing problems of practical interest. By completing this unit, you will develop an essential basis for further studies stochastic analysis, stochastic differential equations, stochastic control, financial mathematics and statistical inference.