"An Introduction to Applied Probability and Stochastic Processes: Open Lecture Notes" (by Matthew Lorig): https://t.co/M3zgjlh3gm
[note: broad introduction to measure-theoretic probability and stochastic processes; two-quarter course for first-year PhD students in applied math]
Kiyosi Itô died on 10 November 2008. His stochastic calculus revealed a surprising rule for Brownian motion:
d(Bₜ²) = 2Bₜ dBₜ + dt.
The extra dt term, absent from ordinary calculus, now underlies models in physics, biology and finance.