EE 606 Probability and Stochastic Processes II

(Spring 2001)

R. Chandramouli

( Email: rchandr1@stevens-tech.edu, Phone: 201-216-8642)

Time : Monday 6:15 to 8:45 p.m.

Aim : Knowledge of stochastic processes is essential for the study/analysis of computer networks, wireless communications, multimedia systems, financial market etc. This course is an introduction to the theory of stochastic (random) processes and its applications to many real-life problems. No prior knowledge of stochastic processes will be assumed. At the end of the course students will be able to analyze

communication and networking sytems, predict financial markets etc. Fun part of this course will include the study of drunkard’s walk, secretary problem etc. !!

Pre-requisite : EE 605 Probability and Stochastic Processes I or equivalent. Knowledge of random variables, functions of random variables, conditional probability, and expected value will be assumed.

Syllabus : Introduction to probability as a measure, basic elements of stochastic processes, discrete time and continuous time Markov chains, limit theorem of Markov chains and applications, renewal processes, martingales, ergodic theory and its applications, spectral analysis of stochastic processes, queuing applications. Numerous examples will be included during the course from wireless communications, computer networks, and finance.

Course Website : http://www.ece.stevens-tech.edu/~mouli/EE606.html

Textbook : A first course in stochastic processes (Second Edn.), S. Karlin and H.M. Taylor, Academic Press, ISBN 0-12-398552-8

Reference Texts :

· A second course in stochastic processes, S. Karlin and H.M. Taylor, Academic Press, ISBN 0-12-398650-8

· Probability and measure theory (Second Edn.), R.B. Ash and C.A. Doleans-Dade, Harcourt Academic Press, ISBN 0-12-065202-1

· Probability, A.N. Shiryaev (Second Edn.), Springer, ISBN 0-387-94549-0

Grading Policy : Two mid-term exams -- 50 %

Final exam -- 30%

Homework -- 20%

Remarks :

· Homework must be submitted individually (but, discussions with other students in the class are allowed). Late submissions will be penalized.

· Feel free to ask questions in the class.

· The course website will be updated periodically for homework problems, announcements etc.