Course Content
Probability spaces, random variables, expectation, uniform integrability, independence, stochastic convergence, limit theorems, conditioning, Markov chains, martingales, Brownian motion, Poisson process, examples from electrical engineering.
Text / References
- 1 E. Wong and B. Hajek, Stochastic Processes in Engineering Systems, Springer Verlag, New York, 1984.
- 2 L. Breiman, Probability, SIAM, Philadelphia. 1992.