This book is a comprehensive exploration of the interplay between Stochastic Analysis, Geometry, and Partial Differential Equations (PDEs). It aims to investigate the influence of geometry on diffusions induced by underlying structures, such as Riemannian or sub-Riemannian geometries, and examine the implications for solving problems in PDEs, mathematical finance, and related fields. The book aims to unify the relationships between PDEs, nonholonomic geometry, and stochastic processes, focusing on a specific condition shared by these areas known as the bracket-generating condition or Hörmander's condition. The main objectives of the book are: The intended audience for this book includes researchers and practitioners in mathematics, physics, and engineering, who are interested in stochastic techniques applied to geometry and PDEs, as well as their applications in mathematical finance and electrical circuits.