Random Processes and Stochastic System

Random Processes and Stochastic System
2008. 10. 2
3. Random Processes and Stochastic System
3.1 Chapter Focus
3.1.1 Discovery and Modeling of Random Process
3.1.2 Main Points to Be Covered
3.1.3 Topics Not Covered
3.2 Provavility and Random Variables
3.2.1 An Example of Random Variable
3.2.2 Probability Distributions and Densities
3.2.3 Gaussian Probability Densities
3.2.3.1 Vector-Valued(Multivariate) Gaussian Distributions
3.1 Chapter Focus
Stochastic 시스템의 기본개념

Dynamic 시스템의 Stochastic 표현 방법
3.1.1 Discovery and Modeling of Random Process
Rovert Brown 에 의해 발견

Langevin equation
: Danping 계수
: Random Force

Idealized Stochastic Processes

White-Noise Processes and Wiener Processes

3.1.2 Main Points to Be Covered
Stochastic 이론으로 Physical system의 불확실성을 표현

Dinamic system은 통계적으로 표현
3.1.3 Topics Not Covered
수학적 확률이론에 대한 선행 학습

Ito 계산법은 적분가능하지않은 함수에도 적용이 되…(생략)