Stochastic methods are ubiquitous to a variety of fields, ranging from physics to economics and mathematics. In many cases, in the investigation of natural processes, stochasticity arises every time one considers the dynamics of a system in contact with a somewhat bigger system, an environment with which it is considered in thermal equilibrium. Any small fluctuation of the environment has some random effect on the system. In physics, stochastic methods have been applied to the investigation of phase transitions, thermal and electrical noise, thermal relaxation, quantum information, Brownian motion and so on. In this review, we will focus on the so-called stochastic Schrödinger equation. This is useful as a starting point to investigate the dynamics of open quantum systems capable of exchanging energy and momentum with an external environment. We discuss in some detail the general derivation of a stochastic Schrödinger equation and some of its recent applications to spin thermal transport, thermal relaxation, and Bose-Einstein condensation. We thoroughly discuss the advantages of this formalism with respect to the more common approach in terms of the reduced density matrix. The applications discussed here constitute only a few examples of a much wider range of applicability.