Stochastic calculus has come a long way since Robert Brown described the motion of pollen through a microscope in 1827. It’s now a key player in data science, quant finance, and mathematical biology. This article is drawn from notes I wrote for an undergraduate statistical physics course a few months ago. There won’t be any...

Preamble The classical mathematician practically by instinct views the continuous process as the “real” process, and the discrete process as an approximation to it. The mathematics of finance and certain topics in the modern theory of stochastic processes suggest that, in some cases at least, the opposite is true. Continuous processes are, generally speaking, the...