09-10-2018/CE 608

CE 513: STATISTICAL METHODS

IN CIVIL ENGINEERING

STOCHASTIC CALCULUS

Dr. Budhaditya Hazra

Room: N-307
Department of Civil Engineering

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Convergence of Random Process

Definitions:

Sequence of RVs: {𝑋𝑛 , n ≥ 1}; 𝑛∈𝑁

𝐸 [𝑋𝑛2 ] < ∞

Mean squared Error: MSE 𝑋𝑛 , 𝑋 ≔ 𝐸 (𝑋𝑛 −𝑋 2 ]

Limit in mean square: l. i. m. 𝑋𝑛 = 𝑋

𝑛→∞

Is the same way of stating lim MSE 𝑋𝑛 , 𝑋 → 0

𝑛→∞

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Convergence of Random Process

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Mean Square Calculus

A random process X(t) is said to be continuous in
mean square (m.s.) if

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lim 𝐸 𝑋 𝑡+𝜀 −𝑋 𝑡 =0
𝜀→0

Theorem:
A random process X(t) is m.s. continuous, then it is
also continuous in mean
lim 𝜇𝑋 𝑡 + 𝜀 = 𝜇𝑋 (𝑡)
𝜀→0
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Mean Square Calculus

Theorem:
A random process X(t) is said to be m.s. continuous if and
only if its autocorrelation function 𝑅𝑋 𝑡, 𝑠 is continuous

Theorem:
A WSS stationary random process X(t) is said to be m.s.
continuous if and only if its autocorrelation function 𝑅𝑋 𝜏 is
continuous at 𝜏 = 0

Wiener process X(t) is m.s. continuous

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Mean Square Calculus

A random process X(t) is said to have a m.s. derivative X'(t) if

𝑋 𝑡+𝜀 −𝑋 𝑡
l. i. m. = 𝑋 ′ (𝑡)
𝜀→0 𝜀

l. i. m. implies limit in mean square

𝜀→0

X(t) has the m.s. derivative X'(t), then its mean and autocorrelation-function
are given by

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Mean Square Calculus

Theorem:

A random process X(t) has a m.s. derivative 𝑋 ′ (𝑡) if

𝜕2 𝑅𝑋 𝑡,𝑠
exists at s = t
𝜕𝑡 𝜕𝑠