320-page open lecture notes on applied probability and stochastic processes released on arXiv
chaumian · x · 2026-11-10
Matthew Lorig released 320-page open lecture notes introducing measure-theoretic probability and stochastic processes with an applied focus: conditional expectation, Markov chains, Brownian motion, stochastic calculus, SDEs and PDEs, jump diffusions, stochastic control, optimal stopping and Monte Carlo methods. Most chapters include exercises with solutions, and the LaTeX source is available on GitHub under CC BY-SA 4.0 for forking and contributions.
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