This course aims at introducing stochastic processes, emphasizing mathematical principles, practical understanding, as well as their application to model and evaluate relevant engineering problems.
- Multidimensional Random Variables
- Transformations of Random Variables
- Definition and classification of Random Processes
- Discrete and Continuous time random processes
- Types of Stochastic processes
- Stationarity and Ergodicity
- Auto-correlation function
- Power Spectral Density
- Gaussian Process
- Poisson Process
- Random Walk and Wiener processes
- Markov processes
- Professor: Carlos M. de Lima