Foundations of Stochastic Processes – 046868
Prerequisites: Random Signals 044202
Identical Courses: Foundations of Stochastic Processes 048868
Hilbert spaces. Probability spaces, expectation and integration. Convergence. Conditional expectation. Radon-Nykodym derivative, complements in integration and measure theory. Stochastic processes, martingales. Continucus time processes, Brownian motion. Discrete time Markov processes: Characterization. stability, criteria. Continuous time Markov processes, notion of generator, jump processes, semi-Markov processes.