Applied Stochastic Analysis

Here are my notes for E, Li, and Vanden-Eijnden’s Applied Stochastic Analysis

• Chapter 5 - Stochastic Processes
  • 5.1 - Axiomatic Construction of Stochastic Process
  • 5.2 - Filtration and Stopping Time
  • 5.3 - Markov Processes
  • 5.4 - Gaussian Processes
• Chapter 6 - Wiener Process
  • 6.1 - The Diffusion Limit of Random Walks
  • 6.2 - The Invariance Principle