Reading List

Real Analysis and Measure Theory

1. Understanding Analysis by Stephen Abbott.

2. Measure, Integral and Probability by Marek Capiński, Peter Ekkehard Kopp.

3. Measure, Integration & Real Analysis by Sheldon Axler.

Probability and Statistics

1. Introduction to Probability, 2nd Edition by Dimitri P. Bertsekas and John N. Tsitsiklis.

2. Introduction to Probability, Statistics, and Random Processes by Hossein Pishro-Nik.

3. A Probability Path by Sidney I. Resnick.

4. Statistical Inference, 2nd Edition by Georage Casella and Roger L. Berger.

Stochastic Analysis

1. Elementary Stochastic Calculus, with Finance in View by Thomas Mikosch.

2. Stochastic Calculus for Finance II Continuous-Time Models by Steven Shreve.

Optimal Transport

1. Computational Optimal Transport by Gabriel Peyré and Marco Cuturi.

Open Access Lecture Notes

• CS 109 (Stanford), Math 612 (UBC), Computational OT (Uni Göttingen), etc.