Class schedule - Fall 2022
| Date | Description | Slides | Homework | |
| Wed. 8/31 | Traveling to EUSIPCO 2022 - No class | |||
| Mon. 9/5 | Labor day - No class | |||
| Wed. 9/7 | Traveling to 2022 IEEE SPS/EURASIP Summer School - No class | |||
| Mon. 9/12 | Introductions, class organization, motivating example | Block 1 | ||
| Wed. 9/14 | Probability spaces, conditional probability, independence | Block 2a | ||
| Fri. 9/16 | Random variables, discrete and continuous, expectations | |||
| Mon. 9/19 | Multiple RVs, joint distribution, expectations | HW1 due | ||
| Wed. 9/21 | Bounds, convergence notions and limit theorems | Block 2b | ||
| Fri. 9/23 | Conditional probabilities, distributions and expectations | |||
| Mon. 9/26 | Markov chains, examples, Chapman-Kolmogorov equations | Block 3a | HW2 due | |
| Wed. 9/28 | Gambler's ruin problem, discrete-time queuing models | |||
| Mon. 10/3 | Classes of states, irreducible Markov chains | HW3 due | ||
| Wed. 10/5 | Limiting distributions | Block 3b | ||
| Mon. 10/10 | Fall break - No class | |||
| Wed. 10/12 | Ergodicity | HW4 due | ||
| Mon. 10/17 | Ranking of nodes in graphs | Block 3c | ||
| Wed. 10/19 | Exponential times, memoryless property, counting processes | Block 4a | ||
| Mon. 10/24 | Poisson processes, interarrival times, definitions, examples | HW5 due | ||
| Wed. 10/26 | Continuous-time Markov chains, birth and death processes | Block 4b | ||
| Fri. 10/28 | Midterm review lecture | |||
| Mon. 10/31 | Traveling to Asilomar 2022 - No class | HW6 due | ||
| Wed. 11/2 | In-class midterm exam | |||
| Mon. 11/7 | Transition probability function, Kolmogorov's equations | |||
| Wed. 11/9 | Limiting distributions, ergodicity, balance equations | HW7 due | ||
| Fri. 11/11 | Queuing theory, M/M/1, M/M/2, queue tandem | Block 4c | ||
| Mon. 11/14 | Predator-prey population dynamics, Lotka-Volterra model | Block 4d | ||
| Wed. 11/16 | Markov and Gaussian processes | Block 5a | ||
| Mon. 11/21 | Brownian motion, geometric Brownian motion, white noise | |||
| Wed. 11/23 | Thanksgiving recess - No class | HW8 due | ||
| Mon. 11/28 | Arbitrages and risk neutral measure | Block 5b | ||
| Wed. 11/30 | Black-Scholes formula for options pricing | |||
| Mon. 12/5 | Stationary processes, implications, wide-sense stationarity | Block 5c | HW9 due | |
| Wed. 12/7 | Linear filtering of wide-sense stationary processes | |||
| Mon. 12/12 | Matched filter, Wiener filter | |||
| Wed. 12/14 | Principal component analysis | HW10 due |