Stochastic Processes Comm/ctrl

ECSE-6550

Review of measure and integration theory, elements of probability, random variables, conditional probability, and expectations. Stochastic processes, stationarity, and ergodicity. Gaussian processes and Brownian motion, the Poisson process. Markov processes, wide-sense stationary processes, spectral representations, linear prediction and filtering. Stochastic integrals and differential equations, white noise and the stochastic calculus, the Fokker-Planck equation, diffusion processes, recursive filtering and estimation, evaluation of likelihood ratios. Applications in communication, information processing, and control.

3 credits
Prereqs:
none

Past Term Data

Offered
Not Offered
Offered as Cross-Listing Only
No Term Data
Spring Summer Fall
(Session 1) (Session 2)
2024
2023
2022
2021
2020
2019
2018
2017
2016
2015
2014
2013
Stochastic Processes Comm/ctrl (3c)
  • John W Woods
Seats Taken: 3/20
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
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1999
1998