Advanced Stochastic Processes

Undergraduate | 2026

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area/catalogue icon
Area/Catalogue
MATH X200
Course ID icon
Course ID
207608
Level of study
Level of study
Undergraduate
Unit value icon
Unit value
6
Course level icon
Course level
2
Study abroad and student exchange icon
Inbound study abroad and exchange
Inbound study abroad and exchange
The fee you pay will depend on the number and type of courses you study.
Yes
University-wide elective icon
University-wide elective course
Yes
Single course enrollment
Single course enrolment
Yes
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Note:
Course data is interim and subject to change

Course overview

This course will introduce students to advanced aspects of stochastic processes.

Course learning outcomes

  • Understand and use martingales and stopping times to calculate quantities of interest from discrete-time Markov chains
  • Use the coupling method to prove probabilistic statements
  • Describe the construction of the Ito integral
  • Formulate stochastic models of physical and financial systems

Prerequisite(s)

N/A

Corequisite(s)

N/A

Antirequisite(s)

N/A