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I am looking for recommendations of a good first book to read on stochastic calculus / Itō calculus, say at the advanced undergraduate level. Does anyone have a favorite? Thanks so much!

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I like the book Brownian Motion - An Introduction to Stochastic Processes by René Schilling and Lothar Partzsch pretty much:

  • As the title of the book suggests, it concentrates on Brownian motion which is, without any doubt, the most famous and most important stochastic process (with continuous sample paths). It discusses path properties of Brownian motion, presents several ways how to construct Brownian motion and introduces stochastic integrals with respect to Brownian motion. Moreover, it contains two chapters on stochastic differential equations as well as a chapter on the connection to PDEs.
  • The book starts right from basic definitions and properties; the reader should be familiar with measure/probability theory and the basics of (discrete) martingale theory.
  • There are full solutions to all exercises available on the web.
  • The book is rigorous (in contrast to the book by Oksendal which has already been mentioned in a comment).
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  • $\begingroup$ Great, thanks so much for this, especially the point-by-point! $\endgroup$
    – Idempotent
    Commented Mar 14, 2015 at 14:19
  • $\begingroup$ @saz are you not a fan of Oksendal? I really liked it $\endgroup$
    – Trajan
    Commented Oct 28, 2018 at 17:50
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Oksendal is a classic. I personally really liked Klebaner-Stochastic Calculus with Applications. It was really well written and insightful. Somewhat rigorous, but still intuitive.

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  • $\begingroup$ Thank you! Great to have a variety of recommendations! It's both for a student and for my own edification, so we will likely use more than one! $\endgroup$
    – Idempotent
    Commented Mar 14, 2015 at 14:20

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