MATHS 769 : Stochastic Differential and Difference Equations
2020 Semester One (1203) (15 POINTS)
Capabilities Developed in this Course
|Capability 1:||Disciplinary Knowledge and Practice|
|Capability 2:||Critical Thinking|
|Capability 3:||Solution Seeking|
|Capability 4:||Communication and Engagement|
|Capability 5:||Independence and Integrity|
- Identify analytic and numerical methods suitable for the analysis of SDEs; (Capability 1, 2 and 5)
- Use and apply analytic and numerical methods, as appropriate, for the analysis of SDEs (Capability 1, 2 and 3)
- Write appropriately detailed and structured mathematical arguments in simple contexts; (Capability 1, 2, 3 and 4)
- Understand the theory of multivariate random variables and the main ideas about multivariate normal distributions, including conditional mean and covariance in the context of discrete time stochastic processes; (Capability 1, 2, 3 and 4)
- Understand and be able to compute mean square estimates. (Capability 1, 2, 3, 4 and 5)
- Understand the theory of discrete signals (sequences), the related linear operators and the basics of spectral theory (Capability 1, 2, 3, 4 and 5)
|Three Assignments (equally weighted)||40%||Individual Coursework|
|Final Exam (2 hours)||60%||Individual Examination|
|Assessment Type||Learning Outcome Addressed|
|Three Assignments (equally weighted)|
|Final Exam (2 hours)|
There is no plussage in MATHS 769. This means that all components of the assessment count towards your final grade. Attempt all assessments!
You need to achieve at least 35% on the final exam to pass the course.
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All lecture notes and supporting reading material, as well as some Matlab codes, will be available on Canvas.
This course is a standard 15 point course and students are expected to spend 10 hours per week involved in each 15 point course that they are enrolled in.
For this course, you can expect 3 hours of lectures, no tutorial, 4 hours of reading and thinking about the content and 3 hours of work on assignments and/or test preparation.
Course materials are made available in a learning and collaboration tool called Canvas which also includes reading lists and lecture recordings (where available).
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If your ability to complete assessed coursework is affected by illness or other personal circumstances outside of your control, contact a member of teaching staff as soon as possible before the assessment is due.
If your personal circumstances significantly affect your performance, or preparation, for an exam or eligible written test, refer to the University’s aegrotat or compassionate consideration page: https://www.auckland.ac.nz/en/students/academic-information/exams-and-final-results/during-exams/aegrotat-and-compassionate-consideration.html.
This should be done as soon as possible and no later than seven days after the affected test or exam date.
During the course Class Representatives in each class can take feedback to the staff responsible for the course and staff-student consultative committees.
At the end of the course students will be invited to give feedback on the course and teaching through a tool called SET or Qualtrics. The lecturers and course co-ordinators will consider all feedback.
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Student Charter and Responsibilities
The Student Charter assumes and acknowledges that students are active participants in the learning process and that they have responsibilities to the institution and the international community of scholars. The University expects that students will act at all times in a way that demonstrates respect for the rights of other students and staff so that the learning environment is both safe and productive. For further information visit Student Charter (https://www.auckland.ac.nz/en/students/forms-policies-and-guidelines/student-policies-and-guidelines/student-charter.html).
Elements of this outline may be subject to change. The latest information about the course will be available for enrolled students in Canvas.
In this course you may be asked to submit your coursework assessments digitally. The University reserves the right to conduct scheduled tests and examinations for this course online or through the use of computers or other electronic devices. Where tests or examinations are conducted online remote invigilation arrangements may be used. The final decision on the completion mode for a test or examination, and remote invigilation arrangements where applicable, will be advised to students at least 10 days prior to the scheduled date of the assessment, or in the case of an examination when the examination timetable is published.