This course provides analytical tools for studying random phenomena in engineering systems. The aims are: To develop the main ideas of probability theory in a systematic way; To study randomly-varying functions of time, known as stochastic processes or random processes; To demonstrate how to set up probabilistic models for engineering problems.

This core course in probability and random signals ('stochastic processes') prepares students for a wide range of courses in communications, signal processing, control and other areas of engineering in which randomness has an important role.

Random variables, functions of a random variable, two random variables, sequences of random variables, parameter estimation, stochastic processes, power spectrum, minimum mean-square estimation, Markov chains, Poisson processes and martingales