Unit of study_

# STAT3021: Stochastic Processes

### 2024 unit information

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.

## Unit details and rules

#### Science

 Prerequisites: ? STAT2X11 None STAT3911 or STAT3011 or STAT3921 or STAT4021 Students are expected to have a thorough knowledge of basic probability and integral calculus

At the completion of this unit, you should be able to:

• LO1. explain and be able to apply the fundamentals of probability theory and stochastic processes
• LO2. construct a discrete-time Markov chain and identify its transition probability matrix from practical problem settings
• LO3. explain and be able to apply limit theorems of discrete-time Markov chains and use those to identify and interpret their stationary distribution
• LO4. explain Gambler's ruin problem and calculate extinction probability
• LO5. explain the basic properties of the Poisson process and use these to solve problems
• LO6. construct a Poisson process and identify its parameter from practical problem settings
• LO7. construct a continuous-time Markov chain and identify its generator from practical problem settings
• LO8. explain the length in the queue and solve simple waiting time problems
• LO9. explain definitions of Brownian and martingales
• LO10. write proofs and apply the theory in diverse applications.

## Unit availability

This section lists the session, attendance modes and locations the unit is available in. There is a unit outline for each of the unit availabilities, which gives you information about the unit including assessment details and a schedule of weekly activities.

The outline is published 2 weeks before the first day of teaching. You can look at previous outlines for a guide to the details of a unit.

Session MoA   Location Outline
Semester 1 2024
Normal day Camperdown/Darlington, Sydney
Session MoA   Location Outline
Semester 1 2020
Normal day Camperdown/Darlington, Sydney
Semester 1 2021
Normal day Camperdown/Darlington, Sydney
Semester 1 2021
Normal day Remote
Semester 1 2022
Normal day Camperdown/Darlington, Sydney
Semester 1 2022
Normal day Remote
Semester 1 2023
Normal day Camperdown/Darlington, Sydney
Semester 1 2023
Normal day Remote

Find your current year census dates

### Modes of attendance (MoA)

This refers to the Mode of attendance (MoA) for the unit as it appears when you’re selecting your units in Sydney Student. Find more information about modes of attendance on our website.