I am looking for a good book that has the following topics: Fokker-Planck Equation, Kolmogorov Forward and Backward Equations, Feynman-Kac Formula.
Please let me know if you have any suggestions.
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- Cuchulainn
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Re: book on topics of Stochastic Calculus
Kushner and Dupuis (2001)
What do you want to do with them?
What do you want to do with them?
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- katastrofa
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Re: book on topics of Stochastic Calculus
I think good old Shreve I and II had it.
Re: book on topics of Stochastic Calculus
How advanced and detailed must it be?
For an introduction to those topics, maybe, Introduction To Stochastic Calculus With Applications (2Nd Edition) 2nd ed. Edition (Fima C Klebaner)
it is a handbook I enjoyed.
For an introduction to those topics, maybe, Introduction To Stochastic Calculus With Applications (2Nd Edition) 2nd ed. Edition (Fima C Klebaner)
it is a handbook I enjoyed.