I'm interested in understanding papers on sampling from a probability distribution via Langevin dynamics as for example:
Sampling from a log-concave distribution with Projected Langevin Monte Carlo
Non-asymptotic convergence analysis for the Unadjusted Langevin Algorithm
I have a strong background in PDE (at the level of Hörmander's, Lion and Magenes' books, etc) and I also went through a couple of advanced classes in stochastic processes but I'm quite rusty now.
What would be good books or lecture notes for getting a good grasp on these papers? I've seen many books on Markov processes or Log-Sobolev inequality but they look geared towards other more theoretical directions which I don't really care, or they look good as a references but not so pedagogical.