Resource for Stochastic Calculus and Ito processes

Question

May someone please recommend a book or website where one can learn Stochastic Calculus and Ito processes from scratch.

What do you mean by "from scratch"? Do you already know measure theory? Functional analysis? Basic real analysis? Elementary probability? — Nate Eldredge, Jun 12 '14 at 17:11
Yes Nate, I already know most of those concepts. It is just stochastic calculus confuses me sometimes. and I figured maybe if i start/ learn it from first principles it will start making more sense. Thanks. — Charm_quark, Jun 19 '14 at 16:40

score 3 · Accepted Answer · answered Jun 12 '14 at 17:02

3

Brownian Motion Calculus by Ubbo Wiersema, An Introduction to Stochastic Differential Equations by Lawrence Evans, Stochastic Differential Equations by Bernt Oksendal (not light reading, by any means)

answered Jun 12 '14 at 17:02

Dina Y

46

3

Actually I think Øksendal has a reputation as being one of the gentler introductions to the subject (while still being mathematically rigorous). – Nate Eldredge Jun 12 '14 at 17:11
I will look at these books. Thanks guys – Charm_quark Jun 19 '14 at 16:37

Resource for Stochastic Calculus and Ito processes

1 Answers1

Linked