The math is covered in this course. We look at both ordinary and stochastic differential equations, and at Langevin dynamics / score matching, as well as the needed probability foundations. We only cover the necessary bits of these topics -- just enough to understand how diffusion models work (e.g. we don't look at the physics stuff which is where Langevin dynamics came from).

On the whole, we cover the needed math at the point where we use it in the course. But there's also a bonus lesson that focuses on just the mathematical side, if you're interested: https://youtu.be/mYpjmM7O-30