Instructor

Chung-Chin Lu (呂忠津) (EECS Building Room 609, ext. 31145 )

Teaching Assistants

Chien-Tien Wu(吳千恬) (EECS Building Room 608, ext. 34032)

Lecture Hours

T2R3R4
Lecture at EECS Building Room 104

Office Hours

Tue. 10:00~11:00 AM at EECS Building Room 609.

Lecturenotes

lecturenotes_draft_20010913.pdf (New !)

Homework

Homework1	hw1_sol
Homework2	hw2_sol
Homework3	hw3_sol
Homework4	hw4_sol

Course Description

This course discusses mathematical models for physical phenomenon
which possess random features.

Text Books

C.-C.Lu, Lecturenotes on Stochastic Processes. Department of
Electrical Engineering, National Tsing Hua University, 2001.
(This 2001 draft version will be revised and extended in this semester)

Reference

I. Probability Theory
I.1 S. Ross, A First Course in Probability, 7th edn. Prentice Hall, 2005.
(a very good first course on this subject)
I.2 K.-L. Chung, A Course in Probability Theory, 2nd edn.
New York: Academic Press, 1974. (highly recommended)
I.3 A. N. Shiryayev, Probability. New York: Springer-Verlag, 1984.
(chapters 1-4)

II. Stochastic Processes
II.1 S. M. Ross, Stochastic Processes. New York: John Wiley & Sons, 1983.
II.2 E. Cinlar, Introduction to Stochastic Processes. Englewood Cliffs,
NJ: Prentice-Hall Inc., 1975.
II.3 A. N. Shiryayev, Probability. New York: Springer-Verlag, 1984.
(chapters 5-8)
II.4 E. Wong and B. Hajek, Stochastic Processes in Engineering Systems. New York: Springer-Verlag, 1985.
II.5 J. Lamperti, Stochastic Processes. New York: Springer-Verlag,1977.

Teaching Method

We will emphasize the basic principles of various topics discussed
in this course. The detailed derivation will sometimes be left to
students to study with the lecturenotes and/or references. We will
cover discrete-time Markov chains and (continuous-time) second-order
processes which find numerous applications in science and engineering.
If time is permitted, further related topics will be discussed.
Homeworks will be assigned and graded. Homeworks and homework
solutions can be retrieved from my web site.

Syllabus

1. A review of probability theory
2. Discrete-time Markov chains
3. Second-order processes
4. Related topics (if time is permitted)

Grading

There are homeworks (40%), one midterm (30%) and one final (30%).
The time schedule is as follows:

(1) Midterm - November 20, 2008
(2) Final - January 15, 2009