Stochastic Processes in Engineering Systems
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 stude
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Springer Texts in Electrical Engineering Multivariable Feedback Systems F. M. Callier and C. A. Desoer Linear Programming M. Sakarovitch Introduction to Random Processes E. Wong Stochastic Processes in Engineering Systems E. Wong and B. Hajek
EUGENE WONG BRUCE HAJEK
Stochastic Processes in Engineering Systems
Springer-Verlag New York Berlin Heidelberg Tokyo
Eugene Wong
Bruce Hajek
Department of Electrical Engineering and Computer Sciences University of California Berkeley, California 94720 U.S.A.
Department of Electrical and Computer Engineering University of Illinois, UrbanaChampaign Urbana, Illinois 61801 U.S.A.
Library of Congress Cataloging in Publication Data Wong, Eugene, 1934Stochastic processes in engineering systems. (Springer texts in electrical engineering) Bibliography: p. Includes index. 1. Electric engineering-Mathematics. 2. Stochastic processes. I. Hajek, Bruce. II. Title. III. Series. TK153.W66 1984 519.2'024'62 84-20257 Previous edition, Stochastic Processes in Information and Dynamical Systems by E. Wong, was published by McGraw-Hill, Inc. in 1971. © 1971, 1985 by Springer-Verlag New York Inc.
Softcover reprint of the hardcover 2nd edition 1985 All rights reserved. No part of this book may be translated or reproduced in any form without written permission from Springer-Verlag, 175 Fifth Avenue, New York, New York 10010, U.S.A. The use of general descriptive names, trade names, trademarks, etc., in this publication, even if the former are not especially identified, is not to be taken as a sign that such names, as understood by the Trade Marks and Merchandise Marks Act, may accordingly be used freely by anyone.
Typeset by Science Typographers, Inc., Medford, New York.
9 8 7 6 543 2 1 ISBN-13: 978-1-4612-9545-7 DOl: 10.1007/978-1-4612-5060-9
e-ISBN-13: 978-1-4612-5060-9
Preface
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 stationary 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 accessible, 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
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PREFACE
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 ulti
