ECON5160 – Mathematics 4A: Stochastic modeling and analysis
Schedule, syllabus and examination date
- 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.
You should know
- stochastic processes useful in economic research
You should be able to
- model economic phenomena characterized by stochastic dynamics
- analyze such models
- 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
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.
Recommended previous knowledge
ECON4130 – Statistics 2, ECON3120 – Mathematics 2: Calculus and Linear Algebra / ECON4120 – Mathematics 2: Calculus and Linear Algebra, and ECON4140 – Mathematics 3: Differential Equations, Static and Dynamic Optimization /ECON4145
10 credits overlap with ECON9160
See detailed course plan.
Take home exam.
Examination support material
Open book examination where all written and printed resourses are allowed.
Explanations and appeals
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.