2014 - 2015

  Random Processes                                                                                     
Prof. Mark ShtaifComputer and Software Engineering103Wed1600-1900 Sem  2
University credit hours:  3.0

Course description
Random variables, basic relations and common distributions. Sequences of random variables and the various definitions of convergence. Martingale sequences. Random processes. The concepts of stationarity, cyclostationarity, periodicity and ergodicity. Counting processes. Second order analysis of random processes. The Karhunen-Loéve representation, spectral analysis of stationary processes. Markov processes, white noise and Brownian motion. Introduction to stochastic calculus.

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