Applied Stochastic Analysis

Weinan E and Eric Vanden-Eijnden

Outline

Chapter 1. Random Variables

Chapter 2. Limit Theorems

Chapter 3. Markov Chains

Chapter 4. Stochastic Process -- Generalities

Chapter 5. Wiener Process

Chapter 6. Stochastic ODEs

Chapter 7. Path Integrals

Chapter 8. Fokker-Planck Equations

Chapter 9. Large Deviations and Rare Events

Chapter 10. Monte Carlo Methods