Stochastic Processes

Course Name: Stochastic Processes

Instructor: Dr. Afrooz Haghbin

Level: Graduate

Course Meeting Times: 3 Hours / Week

Prerequisites: Probability and Statistics in Engineering.


Course Description

   In this course, we introduce the stochastic processes and the mathematical principles required to discuss them are presented.

Course Description (Farsi)


Course Syllabus

    1- A Review on Probability and Statistics

    2- Fundamentals of Stochastic Processes

    3- Power Spectrum of Stochastic Processes

    4- Orthogonal Expansion of Stochastic processes

    5- Band-limited Stochastic Processes

    6- Discrete Time Stochastic Processes

    7- Estimation (if time permit)


Course Evaluation

    Midterm Exam                 40%

    Final Exam                      45%

    Homework                      15%



[1] A. Papoulis, S. U. Pillai, Probability, Random Variables and Stochastic Processes. 4th Edition, McGraw Hill, 2002.

[2] S. M. Ross, Introduction to Probability Models. 4th Edition, Academic Press, 2003.

[3] S. M. Ross, Stochastic processes. Wiley, New York, 1996.

[4] W.B. Davenport, Probability and Random Processes. McGraw Hill, 1970.