MATH43020: Stochastic Processes

• Analysis in Many Variables and Markov Chains or Probability

• None

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• To develop models for processes evolving randomly in time, and probabilistic methods for their analysis, building on the treatment of probability at Levels 1 and 2. Students completing this course should be equipped to independently study much of the vast literature on applications of stochastic processes to problems in physics, engineering, chemistry, biology, medicine, psychology, and other fields.

• Conditional expectation
• Branching processes
• Coupling theory
• Discrete renewal theory
• Discrete-time martingales and their applications
• Continuous-time Markov chains
• Poisson processes
• Continuous time martingales

Subject-specific Knowledge:

• By the end of the module students will be able to:
• Rigorously define branching processes, couplings of random variables/stochastic processes, renewal processes, martingales and Markov chains in discrete and continuous time.
• Illustrate the above processes with examples.
• Explain the key theorems covered in the course (that govern the behaviour of these processes) and apply them to: calculate/estimate probabilities of events; calculate/estimate expectations of observed quantities; quantify similarity/difference between two stochastic processes; classify processes according to long term behaviour.
• (Re)construct proofs of main theorems .
• Apply theorems to solve unseen problems (appropriate to Level III and of similar type to those seen in the course) concerning stochastic processes.
• Model "real-world" or informally described systems that evolve in time subject to randomness, using appropriate stochastic processes.

Subject-specific Skills:

• In addition students will have enhanced mathematical skills in the following areas: modelling, computation.

Key Skills:

• Students will be able to study independently to further their knowledge of an advanced topic.

• Lectures demonstrate what is required to be learned and the application of the theory to practical examples.
• Subject material assigned for independent study develops the ability to acquire knowledge and understanding without dependence on lectures.
• Problem classes show how to solve example problems in an ideal way, revealing also the thought processes behind such solutions.
• Formative assessments provide feedback to guide students in the correct development of their knowledge and skills in preparation for the summative assessment.
• The end-of-year examination assesses the knowledge acquired and the ability to solve predictable and unpredictable problems.

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