I might put some content here, when time permits, with particular reference to specific concepts I use.
- Gaussian processes
- branching processes
- Lévy processes
- mixing time characterisations
- stochastic DEs
- General probability
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. on 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 introductions into some rather fresh probability, not just your boring old Itō calculus.