ELE2707 – Stochastic Processes - 2019.1

Objective:

This course introduces the fundamentals of probability theory, random variables and stochastic processes, and presents the main tools used in the area along with examples often found in electrical engineering and related areas.

Programme:

I. Probability theory and probabilistic models

II. Random variables

III. Functions of random variables

IV. Expected value

V. Inequalities and convergence of random variables

VI. Gaussian vectors

VII. Stochastic processes

Assessment:

The assessment is based on lists of assignments (T) and two exam papers (E1 and E2). The final grade is given by FG = (T + E1+ E2)/3

Exams:

Grades:

Lists of assignments:

List 1

List 2

List 3

List 4

References:

1. A. Papoulis and S. Pillai, Probability, Random Variables and Stochastic Processes, 4th Ed. Mc-Graw-Hill 2002.

2. A. Leon-Garcia, Probability and Random Processes for Electrical Engineering, Addison-Wesley, Third Edition, 2008.