还有一些书,补充楼主。个人以为难度递增。
Oksendal, Stochastic Differential Equations: An Introduction with Applications
Shreve, Stochastic Calculus for Finance II: Continuous-Time Models
Protter, Stochastic Integration and Differential Equations
karatzas & shreve, Brownian Motion and Stochastic Calculus
Revuz & Yor, Continuous Martingales and Brownian Motion
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