Ksendal, Oksendal classic text

SVG · November 22nd, 2004, 12:57 pm

Does anybody use it?How is this text? Possible to read if one is not mathematician?

Athletico · November 22nd, 2004, 1:33 pm

> Does anybody use it?Yes, highly recommended. That's the book I learned stoch calc from (along with Financial Calculus, Baxter & Rennie). It'd be ideal if you knew some real analysis / measure theory before you start getting into Oksendal, but it's not necessary.

Debut · November 23rd, 2004, 12:06 am

I'm not sure , especially about measure theory.

shoegazer · November 25th, 2004, 6:59 pm

If one is not a mathematician then I doubt highly one will be successful in reading Oksendal. Oksendal is very much in the springer-verlag series style of books. Not surprising since it is one. Long on theory and short on examples. If you have some knowledge of measure theory, enjoy your math limited to lemmas, theorems, corollaries, etc. then this is your book. Oherwise it is by no means a lay persons intro to stochastic calculus.

yuanche17 · December 1st, 2004, 9:29 pm

In my personal opinion, Oksendal is one of those oddities which are a little too light for mathematicians, but a little too heavy for non-mathematicians. Especially the chapters on properties of diffusion processes, and link with PDEs tend to be a bit sketchy at times. Overall though I suggest this book over say "Karatzas and Shreve".

Stefanone · December 2nd, 2004, 12:10 pm

I have used many many books for my studies on stoch calculus and I would not recommend Oksendal as the standard starting book to learn the subject. I think that a "milder" intro could help to use Oksendal better. The text I always recommend is "Basic Stochastic Calculus" from Brezniak-Zastawaniak, maybe read in conjunction with "Probability Essential" by Jacod-Protter. These two books will give solid foundation when switching into more demanding books.