ECSE 6550 - Stochastic Processes in Communication and Control

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.

Prerequisites/Corequisites: Prerequisite: ECSE 6510.

When Offered: Fall term on sufficient demand.

Credit Hours: 3

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ECSE 6550 - Stochastic Processes in Communication and Control