ENEE 620: Random Processes

in Communications and Control
Fall 2012

Instructor : Alexander Barg, Professor
Department of Electrical and Computer Engineering/Institute for Systems Research
Office: 2361 A.V.Williams Building. E-mail abarg at  umd  dot edu

TA: Jianwei Xie,  xiejw at umd dot edu
TA office hours: Thursday 1-3pm, AVW2454

Class times: Lectures: TuesdayThursday 3:30-4:45 CHE2108
                     Discussions: Sect.1 F11:00-11:50, EGR1104; Sect.2 Th.5:00-5:50, EGR2154
Instructor availability outside class hours: after class (preferred), or MoWe 1:30-2:30
Homepage: http://www.ece.umd.edu/~abarg/620

Textbooks:
M. Lefebvre, Applied Stochastic Processes,
Springer Science Publishers, ISBN 978-0-387-34171-2.
  available online from UMD EPSL library
B. Hajek, An Exploration of Random Processes for Engineers, 2011, free set of lecture notes, download here

   Other books (recommended, will not be used in an essential way):
        L. Koralov and Y. Sinai, Theory of Probability and Random Processes, Springer 2007, ISBN 978-3-540-25484-3 available online from UMD EPSL library
        A. Shiryaev, Probability, Springer, 1996. UMD ESPL Library number QA273.S54413.

Midterm exam Thursday 11/15.
Final Exam Place: CHE 2108 Date: 12/19, Time 10:30-12:30
Home assignments: accessible from Course calendar
Send your comments to the instructor (feedback form)

Main topics:

Review of probability theory
Random processes. Main examples.
Markov processes and Markov chains.
Poisson process
Spectral theory, PSDs
Martingales

Course calendar

Grading: several home assignments (20%), midterm (40%), final (40%).