STAT 441: Stochastic Processes
2009 Trimester 2
STAT 441 | CRN 10828, 15 Points (2009 2/3) | |
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Coordinator: | Prof Estate Khmaladze |
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Lecturer: | Dr Yuichi Hirose |
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Prerequisites: | STAT 331 or 333 | |
Lectures: | Fri 1-3 timetable | |
Recommended Reading: | A.N. Shiryaev, Essentials in Stochastic Finance – Facts, Models, Theory (Chapter 12). | |
Prescription: | This course develops the theory of point processes and, in particular, marked point processes. Topics may include Poisson processes, martingale theory, risk processes and distribution-free model-fitting methods. | |
Description: | Martingale theory for discrete time
Martingale theroy for point processes Brownian motion and stochastic differentiation Stochastic integration with respect to Brownian motion Binomial and empirical processes |
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