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Stochastic Differential Equations Reference

Discussion in 'Mathematics' started by ehangeto4, Sep 22, 2020.

  1. ehangeto4

    ehangeto4 New commenter

    Hello everyone,

    So I'm trying to get a grasp on stochastic differential equations as well as Ito and Stratonovich calculus, but I'm having trouble finding a good place to start. Could anyone suggest some good references or lectures on the topic?

    Thanks in advance.
     
  2. nervousned

    nervousned Lead commenter

    Could try
    Financial Calculus by Baxter and Rennie or
    Options, Futures and other Derivatives by Hull

    They are not easy books but that is typical of content of this level.
     

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