CDS 110b: Stochastic Systems

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CDS 110b

Schedule

Project

FAQ

Reading

This set of lectures presents an overview of random processes and stochastic systems. We begin with a short review of continuous random variables and then consider random processes and linear stochastic systems. Basic concepts include probability density functions (pdfs), joint probability, covariance, correlation, power spectral density, spectral response and spectral factorization.

Course Materials

• Lecture notes: Stochastic Systems
• HW #2

References and Further Reading

• Friedland, Chapter 10
• Hoel, Port and Stone, Introduction to Probability Theory - this is a good reference for basic definitions of random variables
• Apostol II, Chapter 14 - another reference for basic definitions in probability and random variables