units
MTH5230
Faculty of Science
This unit entry is for students who completed this unit in 2016 only. For students planning to study the unit, please refer to the unit indexes in the the current edition of the Handbook. If you have any queries contact the managing faculty for your course or area of study.
Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.
Faculty
Organisational Unit
School of Mathematical Sciences
Coordinator(s)
Offered
Homogeneous Markov chains in finite and countable state space. Foster-Lyapunov criterion for recurrence and transience. Random walks in one and more dimensions. Polya theorem. Limit theorems: law of iterated logarithms, functional central limit theorem. Connections with the Brownian motion and the heat equation. Applications of random walks to finance and insurance.
On completion of this unit students will be able to:
Weekly homework: 15%
Assignments: 15%
Exam: 70%
Two 2-hour lectures per week
See also Unit timetable information
MTH3241 (or equivalent)
Only students enrolled in the Master of Financial Mathematics can enrol in this unit. Exceptions can be made with permission from the unit co-ordinator.