Stochastic processes (ECE 241A)

Course Description:

This is a first-year graduate class introducing the principles of stochastic processes. Basic probabilistic techniques have become the basis of modern information processing. This course develops the basic principles of probability and stochastic processes. Topics include axiomatic development of probability, random variables, and processes; expectation; convergence of random variables; laws of large numbers; central limit theorem; random processes through linear systems; basics of (linear) estimation; a menagerie of processes (Markov processes, independent increment processes, counting processes); basics of Martingales and applications.

This course was taught at UCLA in Fall 2010, Fall 2011, Fall 2012, Fall 2013, Fall 2014, Fall 2015, Winter 2017-18, and Fall 2019.