© 1985

Stochastic Processes in Engineering Systems


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

Table of contents

  1. Front Matter
    Pages i-xi
  2. Eugene Wong, Bruce Hajek
    Pages 1-36
  3. Eugene Wong, Bruce Hajek
    Pages 37-73
  4. Eugene Wong, Bruce Hajek
    Pages 74-138
  5. Eugene Wong, Bruce Hajek
    Pages 139-179
  6. Eugene Wong, Bruce Hajek
    Pages 180-208
  7. Eugene Wong, Bruce Hajek
    Pages 209-249
  8. Eugene Wong, Bruce Hajek
    Pages 250-278
  9. Eugene Wong, Bruce Hajek
    Pages 279-310
  10. Back Matter
    Pages 311-361

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.


Bandpass Gaussian process Likelihood Markov Markov process Probability theory Random variable Semimartingale Stochastic processes calculus dynamical systems dynamische Systeme filter operator stochastic process

Authors and affiliations

  1. 1.Department of Electrical Engineering and Computer SciencesUniversity of CaliforniaBerkleyUSA
  2. 2.Department of Electrical and Computer EngineeringUniversity of Illinois, Urbana ChampaignUrbanaUSA

Bibliographic information