• Studies
• Courses
• • ECON5160

ECON5160 - Mathematics 4A: Stochastic modeling and analysis

Course content

• Some tools from probability, dynamic systems and linear algebra
• Markov chains: stationary distributions, recurrence
• Poisson processes
• Birth and death processes
• Branching processes
• Simulation of stochastic processes
• Brownian Motion
• Ito formula and stochastic differential equations
• Applications, which may include finance / Black and Scholes formula, economic theory for firm dynamics, innovation processes, market volatility, search and matching, intertemporal incentives and other topics.

Learning outcomes

To develop a basic understanding of stochastic processes useful in economic research. The aim is also to develop a basic skill in modelling economic phenomena characterized by stochastic dynamics, and an ability to analyse such models. A textbook and a compendium will be used for presenting theory, and several papers will be used to study particular models and analyses.

Admission

The subject is open for both Norwegian and international students.

Students who are admitted to study programmes at UiO must each semester register which courses and exams they wish to sign up for in StudentWeb.

Students enrolled in other Master's Degree Programmes can, on application, be admitted to the course if this is cleared by their own study programme.

International applicants, if you are not already enrolled as a student at UiO, please see our information about admission requirements and procedures for international applicants.

Prerequisites

Recommended prior knowledge

ECON4130 Statistics 2, ECON3120/ECON4120 Mathematics 2, and ECON4140 Mathematics 3.

Overlap

This course is a revised version of the course “A probability approach to economics” given in 2002. No credits are obtained from taking ECON5160 in addition to that course.

Teaching

See detailed course plan.

Exam information

Take home exam.

Exam resources

Open book exam where all written and printed resourses are allowed.

Possibility of make-up exams and re-takes

The Department of Economics has passed following resolution for ECON-courses: It will no longer be possible for candidates to register for an exam in a lower level course after having passed exams in intermediate and advanced level courses in the same subject area (also where there are no pre-requisites that apply to the intermediate course). Further information can be found here.

Contact us