Stochastic Processes

Spring 2006


last updated: 2006/03/29

1. Goal of Course

Probability and stochastic processes are central to the study of communications, control, signal processing, artificial intelligence, computer networks, financial markets, etc. The purpose of the course is to provide students with modeling tools for dealing with random phenomena qualitatively.

We will assume no previous experience with probability.


2. Topics

Basic concepts from probability, conditional probability, counting, random variables, independence, expectations, moments, transforms, introduction to discrete and continuous time random processes, filtering random processes, inequalities, central limit theorem.


2. Recommended Textbook

Probability and Random Processes for Electrical Engineering, A. Leon-Garcia.


3. Instructor

[more details]


Dr. M Asmat Ullah Khan.  (Pakistan)

Contact Information

Tehephone : 031-201-2493
E-mail :
Office :

Electronic & Information Building #B08


4. Tentative Schedule (tentative)



Lecture 1

Introduction. Sample space, axioms of probability, independence, counting.

Lecture 2

Random Variables, probability mass functions, Expectations, Probability density functions.

Lecture 3

Multiple random variables and transforms.

Lecture 4

Basic Probability Problem Tutorial

Lecture 5

Conditional expectation and Bernoulli process.

Lecture 6

Poisson and Markov Process

Lecture 7

Limit Theorems and Inequalities

Lecture 8

Random sequences and their convergence

Lecture 9

Second Probability Tutorial


Midterm exam

Lecture 10

Definition of Random Process, Discrete-time Random Process

Lecture 11

Continuous-time Random Processes

Lecture 12

Stationary Random Processes

Lecture 13

Power Spectral Density

Lecture 14

Response of Linear Systems to Random Signals

Lecture 15

Amplitude Modulation Linear Systems

Lecture 16

Third Tutorial on Stochastic Processes


Project Presentation


Final exam

You can download here:


5. Suggested reading

Personally I believe  Internet is a great resource and  helper in understanding Probability problems. Specially MIT Open course ware is a must-see web site. The site contains assignments and exams.


6. Download the syllabus file (MS-WORD) :      [DOWN]