Stochastic Calculus for Beginners: Literature Suggestions

In summary, stochastic calculus is a branch of mathematics used to model and analyze systems involving randomness. This book is intended for beginners with a basic understanding of calculus and probability theory, as well as researchers and practitioners in various fields. It covers topics such as stochastic processes, integrals, and differential equations, with applications in finance, physics, and engineering. No special software is required, but knowledge of programming languages like R or Python may be helpful. A basic understanding of calculus and probability theory is recommended, as well as some familiarity with differential equations and linear algebra.
  • #1
ayagunov
1
0
Hi to everybody,
I'm going to apply for the theme mentioned in the title during my study and further by writing scientific works. Also I'm very excited with it because of its applications. Couldn't anyone suggest some literature for beginners in Stochastic Calculus?
P.S. I also have some advanced knowledge in Probability theory and Calculus itself.
 
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  • #2
You might like "Stochastic differential equations: an introduction with applications" by
Oksendal.
 

Related to Stochastic Calculus for Beginners: Literature Suggestions

1. What is stochastic calculus?

Stochastic calculus is a branch of mathematics that deals with stochastic processes, which are random processes that evolve over time. It is used to model and analyze systems that involve randomness, such as financial markets, weather patterns, and population growth.

2. Who is this book intended for?

This book is intended for beginners who have a basic understanding of calculus and probability theory. It is also useful for researchers and practitioners who want to learn about the application of stochastic calculus in various fields.

3. What are some key topics covered in this book?

This book covers topics such as stochastic processes, stochastic integrals, Ito's lemma, and stochastic differential equations. It also includes applications of stochastic calculus in finance, physics, and engineering.

4. Do I need any special software or tools to understand this book?

No, this book does not require any special software or tools. However, some knowledge of programming languages such as R or Python may be helpful for understanding the examples and exercises.

5. Are there any prerequisites for reading this book?

A basic understanding of calculus and probability theory is recommended for reading this book. Some familiarity with differential equations and linear algebra may also be helpful, but not necessary.

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