MAMCSP-Stochastic Processes

Module Provider: Mathematics and Statistics
Number of credits: 16 [8 ECTS credits]
Terms in which taught: Spring term module
Non-modular pre-requisites:
Co-requisites: MAMCDTU Data & Uncertainty MAMCDTS Dynamical Systems MAMCDTE Partial Differential Equations MAMCDTN Numerical Methods
Modules excluded:
Module version for: 2017/8

Module Convenor: Dr Tobias Kuna


Summary module description:

This module develops the mathematical theory of stochastic processes in discrete and continuum time and their properties in a rigorous manner.


This module develops the mathematical theory of stochastic processes in discrete and continuum time and their properties in a rigorous manner.

Assessable learning outcomes:

On completion of this module students will have acquired:

• Students will understand the concept of stochastic processes and in particular Brownian motion.

• Students will be able to evaluate and derive path properties, stochastic and asymptotic properties of processes.

• Students will be able to consider rigorously different classes of discrete processes and their properties. In particular limit theorems.

Additional outcomes:

•  Use the acquired techniques to study non trivial general properties of processes;

• Interrelation between transformation, path properties and transformation of processes.

Outline content:

Brief description of teaching and learning methods:
Lectures, tutorials.

Contact hours:
  Autumn Spring Summer
Lectures 20
Tutorials 4
Guided independent study 136
Total hours by term 160.00
Total hours for module 160.00

Summative Assessment Methods:
Method Percentage
Set exercise 40
Class test administered by School 60

Other information on summative assessment:

Formative assessment methods:
Problem sheets and/or essays .

Penalties for late submission:

Where the piece of work is submitted after the original deadline (or any formally agreed extension to the deadline): a mark of zero will be recorded.

You are strongly advised to ensure that coursework is submitted by the relevant deadine. You should note that it is advisable to submit work in an unfinished state rather than to fail to submit any work.

Penalties for late submission on this module are in accordance with the University policy. Please refer to page 5 of the Postgraduate Guide to Assessment for further information:

Length of examination:

2 hours.

Requirements for a pass:
An average of 50% across the whole module.

Reassessment arrangements:
Via a written resit exam. Coursework may be carried forward if it received 40% or more, otherwise it must be resubmitted before the resit exam.

Additional Costs (specified where applicable):
1) Required text books:
2) Specialist equipment or materials:
3) Specialist clothing, footwear or headgear:
4) Printing and binding:
5) Computers and devices with a particular specification:
6) Travel, accommodation and subsistence:

Last updated: 31 March 2017

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