I might put some content here, when time permits, with particular reference to specific concepts I use.
- Martingales
- concentration properties
- Gaussian processes
- Branching processes
- Lévy processes
- Filtrations
- Mixing time characterisations
- Stochastic DEs
- General probability
- Stochastic independence
- Stochastic convolutions
- processes on manifolds
- …
Great explainers of stochastic processes
- Cosma Shalizi and Aryeh Kontorovich: Almost None of the Theory of Stochastic Processes
- Terry Tao as usual explains beautifully and unconventionally e.g. Brownian motion
- George Lowther has blog full of nice tricks and painstaking explanation of ’em, e.g. Properties of the stochastic integral
- Dominic Yeo has a steady explanatory cadence e.g. Properties of the stochastic integral
- Djalil Chafaï has excellent plain-talk introductions to fresh probability.
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