MATH 584

Stochastic Models Fall Semester 2012

useful books and comments:

B. ├śksendal, Stochastic Differential Equations, sixth edition, Springer 2007

Skips a lot of basic proofs. And the motivation and intuitions behind the models are not very clear, though its use of symbols are pretty precise. Though this course uses this book, but I found it too hard to follow as a beginner with only knowledge of real analysis.

Steven E. Shreve Stochastic Calculus for Finance II: Continuous-Time Models

Better than the above book, it has very simple examples to explain intuitions and motivations. The proofs are just in the right amount, it gives sketches of proofs and the connections between concepts and theorems are logically tight. (Highly recommended).