Stochastic Processes

Welcome to the Stochastic Processes module! The aim of this course is to introduce the key areas and applications of stochastic processes and help learners understand their relevance in real-world situations. We will explore various mathematical methods that increase process efficiency and manage complex systems. The module covers a range of techniques related to mathematical models to describe and solve specific problems. We will focus on two main types of stochastic processes: discrete and continuous. This study provides you with the necessary tools to effectively analyze and apply stochastic methods.

At the end of this module, you will be able to:

Having successfully completed the module, students should be able to demonstrate knowledge and understanding of:

(1) Ascertain the and apply appropriate stochastic process for a given phenomena;

(2) aspects of stochastic calculus with emphasis on the application to financial modelling and financial engineering;

(3) Construct and extend Markov chains.