Probability and Stochastic Processes

Course content

Review of probability theory and random variables. Sequence of random variables, convergence concepts. Stochastic processes: correlation and power spectra, stationarity, linear systems with random inputs, second order processes; stochastic continuity, differentiation and integration in quadratic mean; Gaussian processes; Poisson processes, shot noise; Markow processes; orthogonal expansions, least mean square error estimation.