ECE 760 / Stochastic Processes

3 unit(s)

T. Field

Concepts of probability, logical relations, conditional probability and expectation, Bayes theorem, Bayesian statistics, central limit theorem; continuous random variables, correlation and higher order statistics; theory of distributions: moments, heavy tailed distributions, Cauchy distribution, characteristic functions, stability / infinite divisibility; Markov property, principles of stationarity, ergodicity; power spectral density and auto-correlation; population dynamics, birth-death-immigration processes, the Poisson process; diffusion processes, the Fokker-Planck equation; Brownian motion and the Wiener process; introduction to stochastic differential equations.