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Stochastic Processes II

Stochastic Processes II. T. J. Lim Semester II, 2011/12. Meetings, Web. Mondays, 10.30 to 12.00, E1-06-10 Thursdays, 3.00 to 4.30, E1-06-13 Web: My blog http://blog.nus.edu.sg/tjlim / E-mail: You know how to reach me! And I have your e-mail addresses too. More Interactivity.

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Stochastic Processes II

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  1. Stochastic Processes II T. J. Lim Semester II, 2011/12

  2. Meetings, Web • Mondays, 10.30 to 12.00, E1-06-10 • Thursdays, 3.00 to 4.30, E1-06-13 • Web: My blog http://blog.nus.edu.sg/tjlim/ • E-mail: You know how to reach me! And I have your e-mail addresses too.

  3. More Interactivity • Smaller class, so greater chance for interactions. • Don’t be afraid to speak up. • Can have student presentations on relevant research work.

  4. Discussion Plan • Revision (9-1). • Stochastic convergence. Mean square periodicity (7-4, pp. 392-393). • Memoryless systems & Linear systems with random inputs (9-2). • Power spectral density (9-3). • Properties of the PSD and correlation (9-3).

  5. Discussion Plan • Spectral factorization and innovations (11-1). • Finite-order systems (11-2). • Random walks (10-1). • Wiener process. Brownian motion. (10-1) • Poisson point process (10-2). • Shot noise (10-2). • Modulation (10-3, ex. FM).

  6. Discussion Plan • Band-limited processes and sampling (10-3). Matched filtering (10-4). • Markov chains – definitions (15-1). • Chapman-Kolmogorov equation (15-2). • Closed sets, persistent and transient states (15-3). • Stationary distributions and limiting probabilities (15-4).

  7. Discussion Plan • Absorption probability (15-5). • Branching processes, extinction probability, immigration (15-6). • Queueing theory (16-3).

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