Advanced Stochastic Processes
University of Cape Town
Cape Town, South Africa
Area of Study
Taught In English
Course entry requirements: STA2004F, STA2005S, MAM2000W and concurrent registration for STA3041F
Course Level Recommendations
ISA offers course level recommendations in an effort to facilitate the determination of course levels by credential evaluators.We advice each institution to have their own credentials evaluator make the final decision regrading course levels.
Host University Units36
Recommended U.S. Semester Credits6
Recommended U.S. Quarter Units9
Hours & Credits
This course is a third year module for students studying Actuarial Science or Mathematical Statistics, though not a requirement for a major in Mathematical Statistics. The course gives a theoretical overview of stochastic processes with the models covered spanning both discrete and continuous time as well as discrete and continuous state-space. Though the emphasis is on the theoretical properties of the models, the application of the methods to real-world problems is also explored at length. Topics covered include: Poisson processes, continuous-time Markov chains, random walks, probability theory, discrete-time martingale processes, Brownian motion and diffusion processes.
Credits earned vary according to the policies of the students' home institutions. According to ISA policy and possible visa requirements, students must maintain full-time enrollment status, as determined by their home institutions, for the duration of the program.