The course will be based on Lecture Notes, described in the Lecture Schedule.
and on the
Textbook
Henry Stark and John W. Woods, `Probability, Random Processes, with Applications to Signal Processing'. 3rd Edition, Prentice Hall, 2002. ISBN 0-13-020071-9
The course will closely follow this book. It is available at Amazon, or at the campus bookstore. Fondren Library also has a few copies.
New copies are available at Amazon from third party vendors at $60-70 (about half the original sticker price). Click on "Used and new" at the above book link, or look at this page.
Further suggested reading
- E. Wong and B. Hajek, `Stochastic Processes in Engineering Systems'
- N. U. Prabhu, `Stochastic Processes', McMillan, 1965
- E. Parzen, `Stochastic Processes', SIAM Classics in Applied Mathematics, 1962, 1999
Standard references on Probability Theory
- A. Papoulis, `Probability, Random Variables, and Stochastic Processes'
- W. Davenport, `Probability and Random Processes'
- W. Feller, `An Introduction to Probability Theory and Its Applications'
- P. Billingsley, `Probability and Measure'
Stark & Woods, Wong & Hayek, and Papoulis are on reserve at Fondren Library
Additional helpful reading:
A.N. Kolmogorov and S.V. Fomin, Elements of the Theory of Functions and Functional Analysis, Dover Publishing, 1999 (orig. 1957, 1961, Greylock Press). ISBN 0-486-40683-0.
Ronald N. Bracewell, The Fourier Transform and its Applications, McGraw-Hill Science/Engineering/Math; 3 edition (June 8, 1999)
David Williams, Probability with Martingales, Cambridge University Press, 1991, ISBN 0-521-40605-6 (Available at Amazon)
Conditional expectation and martingales (lecture notes from U Chicago)
Martingales (lecture notes from U Chicago)
Martingales in discrete time (Rutgers U lecture notes)
Watch this page for update of recommended reading!