Advanced Stochastic Processes

University of Cape Town

Course Description

  • Course Name

    Advanced Stochastic Processes

  • Host University

    University of Cape Town

  • Location

    Cape Town, South Africa

  • Area of Study


  • Language Level

    Taught In English

  • Prerequisites

    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.

    Hours & Credits

  • Host University Units

  • Recommended U.S. Semester Credits
  • Recommended U.S. Quarter Units
  • Overview

    Course outline:
    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.

Course Disclaimer

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.


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