MAMCSP-Stochastic Processes

Module Provider: Mathematics and Statistics
Number of credits: 16 [8 ECTS credits]
Level:7
Terms in which taught: Spring term module
Pre-requisites:
Non-modular pre-requisites:
Co-requisites: MAMCDTU Data & Uncertainty MAMCDTS Dynamical Systems MAMCDTE Partial Differential Equations MAMCDTN Numerical Methods
Modules excluded:
Current from: 2018/9

Email: t.kuna@reading.ac.uk

Type of module:

Summary module description:

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

Aims:

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.

Summative assessment- Examinations:

Summative assessment- Coursework and in-class tests:

Formative assessment methods:
Problem sheets and/or essays .

Penalties for late submission:
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: http://www.reading.ac.uk/internal/exams/student/exa-guidePG.aspx

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

Reassessment arrangements:

Oral reassessment

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: 20 April 2018