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.


1 Answer 1


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.


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