Yearbooks

Stochastic processes 312


 
Module code WST 312
Qualification Undergraduate
Faculty Faculty of Economic and Management Sciences
Module content

Definition of a stochastic process. Stationarity. Covariance stationary. Markov property. Random walk. Brownian motion. Markov chains. Chapman-Kolmogorov equations. Recurrent and transient states. First passage time. Occupation times. Markov jump processes. Poisson process. Birth and death processes. Structures of processes. Structure of the time-homogeneous Markov jump process. Applications in insurance. Practical statistical modelling, analysis and simulation using statistical computer packages and the interpretation of the output.

Module credits 18.00
Service modules Faculty of Economic and Management Sciences
Faculty of Natural and Agricultural Sciences
Prerequisites WST 211, WST 221, WTW 211 GS and WTW 218 GS
Contact time 2 lectures per week, 1 practical per week
Language of tuition Module is presented in English
Department Statistics
Period of presentation Semester 1

The information published here is subject to change and may be amended after the publication of this information. The General Regulations (G Regulations) apply to all faculties of the University of Pretoria. It is expected of each student to familiarise himself or herself well with these regulations as well as with the information contained in the General Rules section. Ignorance concerning these regulations and rules will not be accepted as an excuse for any transgression.

Copyright © University of Pretoria 2019. All rights reserved.

FAQ's Email Us Virtual Campus Share