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Stochastic Processes in Engineering Systems

  • Textbook
  • © 1985

Overview

Authors:
  1. Eugene Wong

    1. Department of Electrical Engineering and Computer Sciences, University of California, Berkley, USA

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  2. Bruce Hajek

    1. Department of Electrical and Computer Engineering, University of Illinois, Urbana Champaign, Urbana, USA

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    You can also search for this author in PubMed   Google Scholar

Part of the book series: Springer Texts in Electrical Engineering (STELE)

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Table of contents (8 chapters)

  1. Front Matter

    Pages i-xi
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  2. Elements of Probability Theory

    • Eugene Wong, Bruce Hajek
    Pages 1-36

  3. Stochastic Processes

    • Eugene Wong, Bruce Hajek
    Pages 37-73

  4. Second-Order Processes

    • Eugene Wong, Bruce Hajek
    Pages 74-138

  5. Stochastic Integrals and Stochastic Differential Equations

    • Eugene Wong, Bruce Hajek
    Pages 139-179

  6. One-Dimensional Diffusions

    • Eugene Wong, Bruce Hajek
    Pages 180-208

  7. Martingale Calculus

    • Eugene Wong, Bruce Hajek
    Pages 209-249

  8. Detection and Filtering

    • Eugene Wong, Bruce Hajek
    Pages 250-278

  9. Random Fields

    • Eugene Wong, Bruce Hajek
    Pages 279-310

  10. Back Matter

    Pages 311-361
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Keywords

About this book

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.

Authors and Affiliations

  • Department of Electrical Engineering and Computer Sciences, University of California, Berkley, USA

    Eugene Wong

  • Department of Electrical and Computer Engineering, University of Illinois, Urbana Champaign, Urbana, USA

    Bruce Hajek

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