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UQU Programs
Actuarial Science and Financial Mathematics

Stochastics process

MTH3606
3 hours English

Stochastics process

Stochastics process
MTH2602 Probability Theory
3 hours One requisite
1 Review: basic probability, common discrete and continuous distributions, moment generating functions, conditional probability and conditional expectation and variance
2 Introduction : definition of stochastic process, type of stochastic processes, properties of stochastic processes, some common stochastic processes , in particular, Wiener process and its application
3 Markov chain: definitions and examples,multistep transition probabilities, classification of states,stationary distributions, limit behavior with application using programming software
4 Poisson processes: defining the Poisson process, compound Poisson processes, transformations, memoryless property
5 Branching processes: discrete time branching processes, extinctionprobabilities, continuous time branching processes
6 Birth-and-death processes: pure birth process, pure death process
1.1 Mapped to: K1

Explain and apply the most appropriate stochastic process technique for a given applied

Teaching Strategy Lecture Tutorials Individual or group work
Assessment Methods Quizzes Midterms Final exam
1.2 Mapped to: K3

Develop and describe the probability and matrix theory to solve stochastic models.

Teaching Strategy Lecture Tutorials Individual or group work
Assessment Methods Quizzes Midterms Final exam
1.3 Mapped to: K2

Demonstarte the solution for a stochastic process application.

Teaching Strategy Lecture Tutorials Individual or group work
Assessment Methods Quizzes Midterms Final exam
2.1 Mapped to: S1

Identify and solve probability and matrix theory to solve stochastic models.

Teaching Strategy Problem solving strategy
Assessment Methods Quizzes Midterms Final exam
2.2 Mapped to: S2

Evaluate the limit probabilities in Markov chains after an infinitely long period.

Teaching Strategy Problem solving strategy
Assessment Methods Quizzes Midterms Final exam
2.3 Mapped to: S3

Effectively communicate and defend the solution for a stochastic process application.

Teaching Strategy Problem solving strategy
Assessment Methods Quizzes Midterms Final exam
3.1 Mapped to: V1

Document and articulate the results and conclusions for stochastic process techniques applied to actual cases in a variety of disciplines.

Teaching Strategy Discussion and dialogue Critical thinking
Assessment Methods Quizzes Midterms Final exam
Assessment
Weight
Homework’s, Quizzes, Mini projects
20%
Midterm
30%
Final Exam
50%
Total
100%