Useful Materials
Advanced Probability Theory
Book Recommendations
- 薄立军. 高等概率论. 北京：科学出版社, 2023.
- Le Gall, Jean-François. Measure theory, probability, and stochastic processes. Cham: Springer, 2022. Download PDF
- Durrett, Rick. Probability: theory and examples. Vol. 49. Cambridge University Press, 2019. Download PDF
Video Recommendations
Probability Theory and Stochastic Processes A Full Year Graduate Course by Todd Kemp
Textbook: Probability Tools with Examples, by Bruce Driver
Stochastic Analysis
Book Recommendations
- Le Gall, Jean-François. Brownian motion, martingales, and stochastic calculus. Springer International Publishing Switzerland, 2016. Download PDF
- Revuz, Daniel, and Marc Yor. Continuous martingales and Brownian motion. Vol. 293. Springer Science & Business Media, 2013.
Optimal Transport
Book Recommendations
- Thorpe, Matthew. Introduction to optimal transport. Notes of Course at University of Cambridge (2018). Download PDF
- Santambrogio, Filippo. Optimal transport for applied mathematicians. Birkäuser, NY 55.58-63 (2015): 94. Download PDF
Video Recommendations
Optimal Transport by Brittany Hamfeldt
Log-concave Sampling
Book Recommendations
- Sinho Chewi, Log-Concave Sampling. (Unfinished Draft) Download PDF
Functional Analysis
Book Recommendations
- Garling, David JH. Analysis on Polish spaces and an introduction to optimal transportation. Vol. 89. Cambridge University Press, 2018.
- Bobrowski, Adam. Functional analysis for probability and stochastic processes: an introduction. Cambridge University Press, 2005.
Convex Analysis and Optimization
Book Recommendations
- Mordukhovich, Boris Sholimovich, and Nguyen Mau Nam. An easy path to convex analysis and applications. Williston: Morgan & Claypool, 2014. Download PDF