Boston University
Department of Electrical and Computer Engineering
EC505 STOCHASTIC PROCESSES
Problem Set No. 1 Solutions
Fall 2008 Issued: Wednesday, Sept. 3, 2008 Due: Friday, Sept. 12, 2008
Proble
EC505
STOCHASTIC PROCESSES
Class Notes
c 2015 Prof. D. Castaon & Prof. W. Clem Karl
n
Dept. of Electrical and Computer Engineering
Boston University
College of Engineering
8 St. Marys Street
Boston, M
EC381
Probability
(and a little Statistics)
Foundations of Probability
Dept. of Electrical and Computer Engineering
Center for Information and Systems Engineering
1.2 Axiomatic Theory of Probability
A
Boston University
Department of Electrical and Computer Engineering
EC505 STOCHASTIC PROCESSES
Notes on Finding Derived Distributions
c 2010 W. C. Karl
Consider the random experiment with the probabil
Boston University
Department of Electrical and Computer Engineering
EC505 STOCHASTIC PROCESSES
Notes on Homework Formatting
c 2010 W. C. Karl
In these notes we discuss how you can help us give you the
Stochastic Calculus
Stochastic Process: Random walk
Begins with a known value Xo at t = 0 then at t = 12.3 eitherjumps up
or down Le. 50% probability it will jump up or down. in the end we get a
cumul
Solution 5. (a) We clearly have Y0 = U. The function f (t, 1:) =: t%3 is in (72 and hence by
Its formula we get
6f 6f 1 a2 f
Y = _ _
d t at (t, Wth + axe, 14/1)th + 2 32$, mm [W, W]:
= 2th dt + 3:211?
Nomenclature
Random variables (X,Y) are known as
Bivariate random variable
Joint random variables (common experiment)
Random vector (of length 2)
Will generalize concepts from scalar random
varia