This course is discontinued

ECON5160 – Mathematics 4A: Stochastic modeling and analysis

Schedule, syllabus and examination date

Choose semester

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 outcome

Knowledge
You should know

  • stochastic processes useful in economic research

Skills
You should be able to

  • model economic phenomena characterized by stochastic dynamics
  • analyze such models

Competence
You should

  • be able to read and understand project reports and journal articles that make use of the concepts and methods that are introduced in the course
  • be able to make use of the course content in your own academic work for example in analyses that are part of the master's thesis

Admission

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.

If you are not already enrolled as a student at UiO, please see our information about admission requirements and procedures.

The subject is open for both Norwegian and international students.

Overlapping courses

10 credits overlap with ECON9160

Teaching

See detailed course plan.

Examination

Take home exam.

Examination support material

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

Explanations and appeals

It is recommended to request an explanation of your grade before you decide to appeal.

Appeal

Explanation

The deadline to request an explanation is one week after the grade is published. For oral and practical examinations, the deadline is immediately after you have received your grade.

The explanation should normally be given within two weeks after you have asked for it. The examiner decides whether the explanation is to be given in writing or verbally.

Resit an examination

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.

Facts about this course

Credits

10

Level

Master

Teaching

Examination

Teaching language

English