I am in search of a good book for learning Stochastic Calculus from a purely mathematical/statistical point of view. Almost all the books I see are based on Finance. Also, please specify the pre-requisites for this course.

Actually, I am quite knowledgable in Measure Theory, Markov Chains and Martingale Theory. I believe this knowledge should suffice.

I am planning to self-study this subject. Please suggest me good books.

Thank you.


From what I've been told, Brownian Motion and Stochastic Calculus by Karatzas and Shreve is the gold standard.

Continuous Martingales and Brownian Motion by Revuz and Yor is also a great reference. What you have listed as background knowledge is sufficient.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.