IELE-4010 Stochastic Processes
The course’s main objective is providing the student with tools to identify the main features of typical stochastic processes and allowing them to analyze and design dynamic systems with uncertain variables. The course initially presents a profitability theory review with definitions, axioms, random variables concepts , distribution functions and profitability density, random variable functions, conditional moments and statistics, and random and statistical variable sequences basic concepts. The course focuses on stochastic processes and power spectrum general concepts, the study of basic processes such as Brownian movement, Poisson processes, white noise and Markov processes. Ergodicity and seasonability concepts. Stochastic differential and stochastic integration equations solving and linear systems with stochastic entries integration. Stochastic processes spectral representation. Orthogonality principle, filters, estimates and prediction.
Instructor
Torres Macias Alvaro
Catalog page for this course