Stochastic Processes in Engineering Systems

✍ Scribed by Eugene Wong, Bruce Hajek (auth.)

• Publisher: Springer-Verlag New York
• Year: 1985
• Tongue: English
• Leaves: 371
• Series: Springer Texts in Electrical Engineering
• Edition: 2
• Category: Library

✦ Synopsis

This book is a revision of Stochastic Processes in Information and Dynamical Systems written by the first author (E.W.) and published in 1971. The book was originally written, and revised, to provide a graduate level text in stochastic processes for students whose primary interest is its applications. It treats both the traditional topic of sta­ tionary processes in linear time-invariant systems as well as the more modern theory of stochastic systems in which dynamic structure plays a profound role. Our aim is to provide a high-level, yet readily acces­ sible, treatment of those topics in the theory of continuous-parameter stochastic processes that are important in the analysis of information and dynamical systems. The theory of stochastic processes can easily become abstract. In dealing with it from an applied point of view, we have found it difficult to decide on the appropriate level of rigor. We intend to provide just enough mathematical machinery so that important results can be stated PREFACE vi with precision and clarity; so much ofthe theory of stochastic processes is inherently simple if the suitable framework is provided. The price of providing this framework seems worth paying even though the ul­ timate goal is in applications and not the mathematics per se.

✦ Table of Contents

Front Matter....Pages i-xi
Elements of Probability Theory....Pages 1-36
Stochastic Processes....Pages 37-73
Second-Order Processes....Pages 74-138
Stochastic Integrals and Stochastic Differential Equations....Pages 139-179
One-Dimensional Diffusions....Pages 180-208
Martingale Calculus....Pages 209-249
Detection and Filtering....Pages 250-278
Random Fields....Pages 279-310
Back Matter....Pages 311-361

✦ Subjects

Probability Theory and Stochastic Processes;Electrical Engineering;Appl.Mathematics/Computational Methods of Engineering