Probability & Statistics

Learn Stochastic Processes

Randomness through time: stochastic processes and sample paths, Markov chains and stationary distributions, random walks and recurrence, the Poisson process, martingales and optional stopping, branching processes, Brownian motion, Itô calculus, and stochastic differential equations.

Free to start · adaptive placement finds your level · reviews timed to your own forgetting.

What you'll learn

30 lessons in Stochastic Processes

Stochastic processesMarkov chainsStationary & limiting distributionsRandom walksThe Poisson processMartingalesThe optional stopping theoremBranching processesBrownian motionItô calculusStochastic differential equationsBirth-death processesRenewal processesHitting times & absorptionMCMC & detailed balanceMixing rates & the spectral gapThe Ornstein-Uhlenbeck processHidden Markov modelsThe reflection principleLocal timeThe Brownian bridgeGaussian processesThe Fokker-Planck equationDiffusion approximationGirsanov's theoremLevy processesHawkes processesEuler-MaruyamaFoster-Lyapunov stabilityFractional Brownian motion
How Erudia teaches

Built to be understood — and remembered.

Every idea is taught with motivation and a worked example before the drills, and an FSRS spaced-repetition engine schedules each review for the day its model predicts you would forget it. A short placement check finds what you already know, so you start Stochastic Processes exactly where it's useful.

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