STAT 441: Stochastic Processes
2009 Trimester 2
| STAT 441 | CRN 10828, 15 Points (2009 2/3) | |
|---|---|---|
| Coordinator: | Prof Estate Khmaladze |
|
| Lecturer: | Dr Yuichi Hirose |
|
| 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 |
|
|
|
||
| View next year > |