EE501 Stochastic Processes

Semester 191
Week-1, Lecture-1

Mohamed Abdul Haleem

Room B14-S-345
Tel: x2572
Email: m.haleem@uoh.edu.sa
 What is a Stochastic Process?
 A stochastic process x (t ) is a rule for assigning to every
outcome  of an experiment S a function x (t,  ). Thus it is a
family of time functions depending on the parameter  .
Equivalently, it is a function of t and  .
 The domain of  is the set of all experimental outcomes.
 The domain of t is a set R of real numbers.
 R real axis ⇒ x (t ) is a continuous time process
 R is the set of integers ⇒ x (t ) is a discrete time process (a sequence of
random variables denoted xn or x[n])
 Discrete state process – values of x(t ) are countable
 Continuous state process – values of x(t ) uncountable
 x (t ) has the following interpretations.
1. t and  are variables - x (t ) is a family (ensemble) of functions
x (t,  )

2. t is a varibale,  is fixed – x (t ) is a single time function (sample

of the given function)

3. t is fixed,  is a variable - x (t ) is a random variable equal to

the state of the given process at time t

4. t and  are fixed - x (t ) is a number

Stochastic Processes – Illustration 1

A continuous time
continuous state
process.
Stochastic Processes - Illustration 2

A continuous time
discrete state process

Obtained by ‘hard limiting’

the previous process.
Stochastic Processes - Illustration 3

A discrete time continuous

state process.
Obtained by sampling the
process in Illustration 1.

a discrete time process

(a sequence of random
variables denoted xn or x[n])
Stochastic Processes - Illustration 4

A discrete time discrete state

process.
Obtained by sampling the
process in illustration 2.
 Stochastic Process - Examples

 The motion of microscopic particles in collision with the

molecules in a fluid (brownian motion)
 x (t ) consists of the motions of all particles (ensemble)
 A single realization x (t,  ) of the process is the motion of a specific particle
 Stochastic Process - Examples

 Voltage of an AC generator with random amplitude r and phase φ

x t   r cos t  φ 
 The process x (t ) is a family of pure sine waveforms. A single sample is the
function x t ,    r   cos t  φ  
i i  i 
 Probability Theory – Review (Ch. 1)
 Probability theory - deals with the study of random
phenomena
 Under repeated experiments yield different outcomes.

 Experiment assumes a set of repeatable conditions that allow

any number of identical repetitions.

 Elementary events  i occur in different but completely

uncertain ways.
 Assign a nonnegative number P ( i ), as the probability of the

event i
 Probability Theory –Basics (Ch. 1) cont…
 Laplace’s Classical Definition: The Probability of an event A
is defined a-priori without actual experimentation as
Number of outcomes favorable to A
P( A)  ,
Total number of possible outcomes
provided all these outcomes are equally likely.
Example : Consider a box with n white and m red balls. In this
case, there are two elementary outcomes: white ball or red ball.
n
Probability of “selecting a white ball”  .
nm
 Probability Theory –Basics (Ch. 1) cont…
 Relative Frequency Definition: The probability of an event A
is defined as n
P ( A)  lim A
n n
where nA is the number of occurrences of A and n is the
total number of trials.
 Axiomatic Definition: Based on the three postulates

(i) P (A )  0 (Probability is a nonnegative number)

(ii) P (S )  1 (Probability of the whole set is unity)
(iii) If A  B   , then P (A  B )  P (A )  P (B ).
 Set Theory (Ch. 2)
 The totality of all  i , known a priori, constitutes a set S, the set
of all experimental outcomes.
S   1 ,  2 , , k , 
 S has subsets A, B, C,.Recall that if A is a subset of S, then
  A implies   S . From A and B, we can generate other
related subsets A  B, A  B, A, B, etc.
A  B    |   A or   B
A  B    |   A and   B
and
A    |   A
 Set Theory (Ch. 2)
A
A B A B A

A B A B A
• If A  B   , the empty set, then A and B are
said to be mutually exclusive (M.E).
• A partition of S is a collection of mutually exclusive
subsets of S such that their union is S.
A i  A j   , and Ai  S . A1
A B i 1 A2
Ai
Aj An
A B  
De-Morgan’s Laws:

A B  A B ; A B  A B

A B A B A B

A B A B A B
Often it is meaningful to talk about at least some of the
subsets of S as events, for which we must have a mechanism
to compute their probabilities.
Example : Consider the experiment where two coins are
simultaneously tossed. The various elementary events are
 Set Theory - Example
1  ( H , H ), 2  ( H , T ), 3  (T , H ), 4  (T , T )

and S   1 ,  2 , 3 ,  4  .
The subset A   1 ,  2 ,  3 is the same as the event “Head
has occurred at least once”.
Suppose two subsets A and B are both events, then followings are
events as well.
“an outcome belong to A or B  A  B ”
“an outcome belong to A and B  A  B ”
“an outcome fall outside A ( A )”
 Fields (Borel Fields)
•Field: A collection of subsets of a nonempty set S forms a field F
if (i) S  F
(ii) If A  F , then A  F
(iii) If A  F and B  F , then A  B  F .
Using (i) - (iii), it is easy to show that A  B, A  B, etc.,
also belong to F. For example, from (ii) we have A  F , B  F ,
and using (iii) this gives A  B  F ; applying (ii) again we get
A B  A B F ,
where we have used De Morgan’s theorem.
 Fields (Borel Fields)

Thus if A  F , B  F , then
F   S ,A,B ,A,B ,A B ,A B ,A B ,  .
From here onwards, we shall reserve the term ‘event’ only to
members of F.
Assuming that the probability pi  P ( i ) of elementary outcomes
i of S are apriori defined, how does one assign probabilities to
more ‘complicated’ events such as A, B, AB, etc., above?
The three axioms of probability can be used to achieve that goal.