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book on topics of Stochastic Calculus
Posted: April 8th, 2024, 7:12 am
by cprasad
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.
Re: book on topics of Stochastic Calculus
Posted: April 8th, 2024, 1:02 pm
by Cuchulainn
Kushner and Dupuis (2001)
What do you want to do with them?
Re: book on topics of Stochastic Calculus
Posted: April 9th, 2024, 10:24 am
by katastrofa
I think good old Shreve I and II had it.
Re: book on topics of Stochastic Calculus
Posted: April 9th, 2024, 3:36 pm
by tags
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.
Re: book on topics of Stochastic Calculus
Posted: April 11th, 2024, 1:33 pm
by Cuchulainn
Øksendal