Where I can find exercises on stochastic calculus (stochastic integration, SDE)? I'm mostly interested in medium difficulty exercises, preferably not proof-oriented, ideally with solutions. I've already looked through the books of Øksendal, Protter, Kuo. Thank you.
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The book Theory of Stochastic Processes: With Applications to Financial Mathematics is probably what you are looking for. Hints and solutions to some problems along with review of needed theory are included.
Also the book of Revuz, Yor Continuous martingales and Brownian motion contains of lot of exercises. Solutions are not included..