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Could you recommend some stochastic calculus literature that has a lot of examples? I am particularly interested if there are good books with stochastic differential equations explained on real problems, for instance, some kind of a seminar-like problems-with-solutions set.

J W
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kroniker
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    these are similar-http://math.stackexchange.com/questions/1412942/what-is-a-good-book-for-learning-stochastic-calculus?rq=1 , http://math.stackexchange.com/questions/781384/resource-for-stochastic-calculus-and-ito-processes?rq=1 and http://math.stackexchange.com/questions/1316164/stochastic-calculus-book-recommendation?rq=1 – vidyarthi Dec 30 '16 at 11:15

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The book by René Schilling & Lothar Partzsch, Brownian Motion - An Introduction to Stochastic Processes contains several chapters on stochastic calculus. Moreover, there are full solutions to all exercises on the web, so there are plenty of examples.

saz
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The books by Berndt Øksendal, particularly Stochastic Differential Equations, Stochastic Partial Differential Equations and Numerical Solutions to SPDEs are great for beginners. The books by Gieuseppe Da Prato, Jerzy Zabzyk, Nikolai Petrov et.al. are great for a second reading or for seminar type material. In addition, the notes of Fields Medalist Martin Hairer on The Theory of Rough Paths is great for research material. Again, books by Abel Prize Laureate S R S Varadhan is also great for some related material.

vidyarthi
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    I agree with you that SPDEs and rough path theory are interesting (research) topics, but I don't think that this is what the OP was looking for... – saz Dec 30 '16 at 11:02
  • @saz But the OP asked for Stochastic Differential equations and seminar topics, which is why I thought of these. – vidyarthi Dec 30 '16 at 11:12
  • Did you miss the "explained on real problems, for instance, some kind of a seminar-like problems-with-solutions set" part by any chance? – Did Dec 30 '16 at 12:30