Probability & Stochastic Processes

Course Contents
1. Review of probability theory
1.1 Introduction
1.2 Probability Space
1.3 Conditional Probability
2. Random Variables
2.1. Concept of Random Variable
2.2. Distribution and Density Functions
2.3. Conditional Distribution
2.4. Jointly distributed random variables
2.5. Joint Characteristic Functions
3. Sequences of Random Variables
3.1. General Concepts
3.2. Conditional Densities, Characteristic Fun. &. Normality
3.3. Mean Square Estimation
3.4. Stochastic Convergence and Limit
Course Contents …
4. Stochastic Processes
4.1. General Concepts of Stochastic Processes
4.2. The Power Spectrum
4.3. Random Walks and Other Applications
5. Spectral Analysis
5.1. Spectral Representation
5.2. Spectrum Estimation
5.3. Mean Square Estimation
6. Markov Processes and Queueing Theory
6.1. Introduction to Markov Chains
6.2. Transition Probabilities and Kolmogrov Equation
6.3. Markov Processes
6.4. Queueing Theory
7. Applications of Stochastic processes in Communication
System.
Textbook: A. Papoulis and Pillai, Probability, Random variables &
Stochastic processes; Fourth Edition, McGraw Hill, 2001

References:
1.W. Feller, An Introduction to probability Theory and
Applications, Vol.II
2. W.E Davenport and W. L Root, Introduction to the Theory of
Random Signals and Noise
3. A. Leon‐Garcia, Probability and Random Processes for
Electrical Engineering, Addison‐Wesley, 2nd Edition, 1994.
4. Kenneth H. Rosen: Discrete Mathematics and its Applications,
McGraw-Hill.
Text Book

A. Papoulis and S. Pillai,

Probability, Random Variables and Stochastic Processes,
4th Edition, McGraw Hill, 2000

5
 Chapter 1
Review of probability theory
1.1 Introduction
Overview:
An event may or may not occur
 What’s Random?
Occurrence of an event is inevitable
 What’s Certain?
An event can never occur
 What’s Impossible?
Examples：
 Disintegration of a given atom of radium
 Finding no defect during inspection of a microwave oven
 Orbit satellite in space is at a certain position
 An object travels faster than light
 A thunderstorm flashes of lighting precede any thunder echoes
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8
Random Phenomena, Experiments

 Study of random phenomena

 Different outcomes
 Outcomes that have certain underlying patterns about them
 Experiment
- repeatable conditions

 Certain elementary events Ei occur in different but completely

uncertain ways.

 probability of the event Ei : P(Ei )>=0

9
Probability Definitions

 Laplace’s Classical Definition

- without actual experimentation
- provided all these outcomes are equally likely.

Example
• a box with n white and m red balls
elementary outcomes: {white , red}
Probability of “selecting a white ball”:
1
• P a given number is divisible by a prime p 
p

10
Probability Definitions

 Relative Frequency Definition

(Probability based on experiment)
- The probability of an event A is defined as

- nA is the number of occurrences of A

- n is the total number of trials

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 Relative Frequency …
n ( A)
p  lim
n n
Dilemmas：
1. Can not be computed since n, only approximation
2. Does the limit of n(A)/n exist?
3. Probabilities that are based on our belief and knowledge are
not justifiable.
The probability that the price of Teff will be raised in
the next six months is 60%.
The probability that it will snow next summer is 30%

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Probability Definitions

Example

The probability that a given number is divisible by a prime p:

13
Counting - Remark

 General Product Rule

if an operation consists of k steps each of which can be performed in
ni ways (i = 1, 2, …, k), then the entire operation can be performed in
ni ways.

Example
- Number of elements in a Cartesian product
- Number of PINs without repetition
- Number of Input/Output tables for a circuit with n input signals
- Number of iterations in nested loops

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Permutations and Combinations

 If order matters choose k from n:

- Permutations :
 If order doesn't matters choose k from n:
- Combinations :

Example

A fair coin is tossed 7 times. What is the

probability of obtaining 3 heads? What is
the probability of obtaining at most 3
heads?

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Example: The Birthday Problem

 Suppose you have a class of 23 students. Would you think it likely or

unlikely that at least two students will have the same birthday?
 It turns out that the probability of at least two of 23 people having the
same birthday is about 0.5 (50%).

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Axioms of Probability

 The axiomatic approach to probability, due to Kolmogorov,

developed through a set of axioms
 The totality of all events known a priori, constitutes a set Ω, the set
of all experimental outcomes.

 A probability measure is a set function whose domain is a completely

additive class  of events defined on the sample space  such that
the measure satisfies the certain conditions.

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Axioms of Probability
 Sample Space：
The set of all possible outcomes, denoted by 

• Sample points：
These outcomes are called sample points, or points.

• Events：
Certain subsets of  are referred to as events.

Sample Space
b j
a k m o Sample point
f l
d e h p Event
c g i n

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 Example 1：
For the experiment of tossing a coin once, what is the
sample space S ?

 Example 2：
Suppose that an experiment consists of two steps.
First a coin is flipped. If the outcome is tails, a die is
tossed. If the outcome is head, the coin is flipped again.
What is the sample space S ? What is the event of
heads in the first flip of the coin? What is the event
of an odd outcome when the die is tossed?

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 Example 3：
Consider measuring the lifetime of a light bulb. Since
any nonnegative real number can be considered as the
lifetime of the light bulb (in hours), the sample space S
is S = {x：x  0 }.

The event E = {x：x  100 } is the event that the light

bulb lasts at least 100 hours.

The event F = {x：x  1000 } is the event that it lasts at

most 1000 hours.

The event G = {505.5} is the event that it lasts exactly

505.5 hours.

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 Example 4：
Suppose that a study is being done on all families with
one, two, or three children. Let the outcome of the
study be the genders of the children in descending
order of their ages. What is the sample space S ?
What is the event F where the eldest child is a boy?
What is the event G where families with exactly 2 girls?

Ans：S = { }
F={ }

G={ }

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Relations of Events
 Subset
An event E is said to be a subset of the event F if,
whenever E occurs, F also occurs.  E  F

 Equality
Events E and F are said to be equal if the occurrence
of E implies the occurrence of F, and vice versa.
E=F
 E  F and F  E
 Intersection
An event is called the intersection of two events E and F
if it occurs only whenever E and F occur simultaneously.
It is denoted by E  F . General Form：
n
i 1 Ei
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Relations of Events ….
 Union
An event is called the union of events E and F if it
occurs whenever at least one of them occurs.
It is denoted by E  F . General Form：
 n
i 1 Ei
 Complement
An event is called the complement of the event E if it
only occurs whenever E does not occur, denoted by E’

 Difference
An event is called the difference of two events E and F
if it occurs whenever E occurs but F does not, and is
denoted by EF .
Notes: E’ = SE and EF = EF’

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Relations of Events …..
 Certainty
An event is called certain if it its occurrence is
inevitable. The sample space is a certain event.

 Impossibility
An event is called impossibility if there is certainty in
its nonoccurence. The empty set is an impossible event.

 Mutually Exclusiveness
If the joint occurrence of two events E and F is
impossible, we say that E and F are mutually exclusive.
That is, EF =  .

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Axioms of Probability

 A and B are subsets of Ω .

A
A B A B A

A B A B A
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Mutually Exclusiveness and Partitions

 A and B are said to be mutually exclusive if A  B  ,

 A partition of  is a collection of mutually exclusive(ME) subsets of
 such that their union is .

A1
A2
A B Ai
Aj An
A B  

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De-Morgan’s Laws

A B  A B ; A B  A B

A B A B A B A B

A B A B A B

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Events

 Often it is meaningful to talk about at least some of the subsets of 

as events
 we must have mechanism to compute their probabilities.
Example

Tossing two coins simultaneously:

A: The event of “Head has occurred at least once” .

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Events and Set Operators

 “Does an outcome belong to A or B”

 “Does an outcome belong to A and B”
 “Does an outcome fall outside A”?
 These sets also qualify as events.
 We shall formalize this using the notion of a Field.

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Fields

 A collection of subsets of a nonempty set  forms a field F if

(i) 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 the following also belong to F.

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Fields

If

then

 We shall reserve the term event only to members of F.

 Assuming that the probability P(Ei ) of elementary
outcomes Ei of Ω are apriori defined.
 The three axioms of probability defined below can be
used to assign probabilities to more ‘complicated’ events.

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Axioms of Probability

 For any event A, we assign a number P(A), called the probability of

the event A.

 Conclusions:

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Probability of Union of to Non- ME (mutually
exclusive) Sets

A AB

A B

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Union of Events

 Is Union of denumerably infinite collection of

pairwise disjoint events Ai an event?
 If so, what is P(A ) ?

 We cannot use third probability axiom to

compute P(A), since it only deals with two
(or a finite number) of M.E. events.

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An Example for Intuitive Understanding

 in an experiment, where the same coin is tossed indefinitely define:

A = “head eventually appears”.
 Our intuitive experience surely tells us that A is an event.

If An  head appears for the 1st time on the nth toss

 {t
, t ,
t,  , t , h}
n 1

We have:

 Extension of previous notions must be done based on our intuition as

new axioms.

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σ-Field (Definition):

 A field F is a σ-field if in addition to

the three mentioned conditions, we
have the following:
- For every sequence of pairwise
disjoint events belonging to F,
their union also belongs to F

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Extending the Axioms of Probability
 If Ai s are pairwise mutually exclusive

 from experience we know that if we keep

tossing a coin, eventually, a head must
show up: P ( A)  1.

 But: A A n ,
n 1

 Using the fourth probability axiom we

have:
  
P( A)  P 
  An   P( A n ).
 n 1  n 1

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Summary: Probability Models

 The triplet (, F, P)

-  is a nonempty set of elementary events
-F is a -field of subsets of .

- P is a probability measure on the sets in F subject the four axioms

 The probability of more complicated events must follow this
framework by deduction.

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Conditional Probability

 In N independent trials, suppose NA, NB, NAB denote the number of times
events A, B and AB occur respectively.
 According to the frequency interpretation of probability, for large N,

NA N N
P( A)  , P( B )  B , P( AB)  AB .
N N N

 Among the NA occurrences of A, only NAB of them are also found among the
NB occurrences of B.
 Thus the following is a measure of “the event A given that B has already
occurred”:
N AB N AB / N P( AB)
 
NB NB / N P( B )

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Satisfying Probability Axioms

 We represent this measure by P(A|B) and define:

P( AB)
P( A | B )  ,
P( B )
P( B )  0.

 As we will show, the above definition is a valid one as it satisfies all

probability axioms discussed earlier.

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Satisfying Probability Axioms

41
Properties of Conditional Probability

Example

In a dice tossing experiment,

- A : outcome is even
- B: outcome is 2.

The statement that B has occurred

makes the odds for A greater

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Law of Total Probability
 We can use the conditional probability to express the probability of a
complicated event in terms of “simpler” related events.
 Suppose that

 So,

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Conditional Probability and Independence

 A and B are said to be independent events, if

P( AB)  P( A)  P( B ).

 This definition is a probabilistic statement, not a set theoretic notion

such as mutually exclusiveness.
 If A and B are independent,

P( AB) P( A) P( B )
P( A | B )    P( A).
P( B ) P( B )

 Thus knowing that the event B has occurred does not shed any
more light into the event A.

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Independence - Example
Example
From a box containing 6 white and 4 black balls, we remove two balls at
random without replacement.
i. What is the probability that the first one is white and the second one is
black? P(W  B )  ?
1 2

ii. Are W1 and B2 independent? P( B2 ) P(W1 ) ? P( B2W1 )

W1  B2  W1B2  B2W1.

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Independence …….
Example Solution
From a box containing 6 white and 4 black balls, we remove two balls at
random without replacement.
i. What is the probability that the first one is white and the second one is
black?

P(W1  B2 )  ?

W1  B2  W1B2  B2W1.
P(W1B2 )  P( B2W1 )  P( B2 | W1 ) P(W1 ).
6 6 3 4 4
P (W1 )    , P( B2 | W1 )   ,
6  4 10 5 54 9

3 4 12
P(W1 B2 )   
5 9 45

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Example - continued
ii. Are W1 and B2 independent?
Removing the first ball has two possible outcomes:

These outcomes form a partition because:

So,
P( B2 )  P( B2 | W1 ) P(W1 )  P( B2 | B1 ) P( B1 )
4 3 3 4 4 3 1 2 42 2
          ,
5  4 5 6  3 10 9 5 3 5 15 5
Thus the two events are not independent.
2 3 4
P( B2 ) P(W1 )    P( B2W1 ) 
5 5 15

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General Definition of Independence

 Independence between 2 or more events:

 Events A1,A2, ..., An are mutually independent if, for all possible
subcollections of k ≤ n events:

Example
In experiment of rolling a die,
A = {2, 4, 6}
B = {1, 2, 3, 4}
C = {1, 2, 4}.
Are events A and B independent?
What about A and C?

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 Bayes’ Theorem

We have:
P( AB)
P( A | B )  ,
Thus, P( B )

P( AB)  P( A | B ) P( B ).
Also,
P( BA) P( AB)
P( B | A)   ,
P( A) P( A)

P( AB)  P( B | A) P( A).

P ( A | B ) P ( B )  P ( B | A) P ( A).

49
Bayesian Updating: Application Of Bayes’ Theorem

 Suppose that A and B are dependent events and A has apriori

probability of P(A ) .
 How does Knowing that B has occurred affect the probability of A?
 The new probability can be computed based on Bayes’ Theorem.

 Bayes’ Theorm shows how to incorporate the knowledege about B’s

occuring to calculate the new probability of A.

50
Bayesian Updating - Example

Example
 Suppose there is a new music device in the market that plays a new
digital format called MP∞. Since it’s new, it’s not 100% reliable.
 You know that
- 20% of the new devices don’t work at all,
- 30% last only for 1 year,
- and the rest last for 5 years.
 If you buy one and it works fine, what is the probability that it will last for 5
years?

51
Generalization of Bayes’ Theorem
A more general version of Bayes’ theorem involves partition of Ω :

P ( B | Ai ) P ( Ai ) P ( B | Ai ) P ( Ai )
P ( Ai | B )   n
,
 P( B | A ) P( A )
P( B )
i i
i 1

In which, Ai , i  1  n,
Represents a collection of mutually exclusive events with assiciated apriori
probabilities:
P( Ai ), i  1  n.

With the new information “B has occurred”, the information about Ai can be
updated by the n conditional probabilities:

52
Bayes’ Theorem - Example
Example

Two boxes, B1 and B2 contain 100 and 200 light bulbs respectively.
The first box has 15 defective bulbs and the second 5. Suppose a box is
selected at random and one bulb is picked out.
i. What is the probability that it is defective? P(D)=?

ii. Suppose we test the bulb and it is found to be defective. What is the
probability that it came from box 1?
P( B1 | D)  ?

53
Bayes’ Theorem - Example
Example solution

Two boxes, B1 and B2 contain 100 and 200 light bulbs respectively.
The first box has 15 defective bulbs and the second 5. Suppose a box is
selected at random and one bulb is picked out.

i. What is the probability that it is defective?

54
Example - Continued

ii. Suppose we test the bulb and it is found to be defective. What is the
probability that it came from box 1?

P( B1 | D)  ?

P( D | B1 ) P( B1 ) 0.15  1 / 2
P( B1 | D)    0.8571.
P ( D) 0.0875

 Note that initially,

P( B1 )  0.5;

 But because of greater ratio of defective bulbs in B1 ,this probability

is increased after the bulb determined to be defective..

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