This is my expert

]]>Moving on to stochastic integration next. The next post will define the stochastic integral, and I’ll follow that up by stuff such as Ito’s formula. This is using my own approach to the subject, which is a bit different from any textbooks I know (but we end up at the same place in the end). If you have any questions don’t hesitate to ask.

With Christmas, might not get the chance to post this for a few days though.

]]>That seems to be a perfectly good question for posting here. I agree, many stochastic calculus books do approach the subject from their own specific viewpoint and can demand a lot of setting up of machinery. I also think it can be bit hard to “see the wood from the trees”. However, a rigorous and approach which covers most of the important theory is always going to be a bit tricky to approach. On the other hand, books aimed at specific applications (e.g., finance) approach the useful stuff much more directly, but you have to take the mathematics on faith.

For a decent and mathematically rigorous approach to the subject, I think Protter is very good and a very readable text. Rogers and Williams (vol 2) is pretty good too, although there is a large diversion on stochastic calculus on manifolds which you probably don’t need.

Merry Christmas!

]]>Thnak you very much for your reply.

This is somewhat of a personal request, and may

not be suitable for posting here. But, then there is

no other way of interacting with you…I have

a background in basic Measure Theory and Probability Theory (e.g., at the level of Durrett’s

text). I wish to learn about Stochastic Calculus,

but there appear to be many books — each with

own philosphy, and all require you to survive a

very demanding preamble/setting up of machinery.

The integration of Discontinuous Processes appears

to be the hardest. I have been reading your superb

blog, but do you have any advice on how one

might proceed?

Kind Regards… ]]>

No, unfortunately, they’re not. At the moment all I have is some handwritten notes I made a few years ago, and am currently writing up in stages and posting on here.

I’m typing these up in LaTeX and converting to wordpress posts, so I could join them all together when it’s done to create a single big pdf.

]]>Your exposition is very clear and to the point.

Are your notes available in a pdf or similar format?

Thanks.