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I'm looking for a good textbook for an introduction to Stochastic Analysis, preferably one that focuses on rigour. I am familiar with measure theory and basic probability theory. The direction I am mostly interested in is stochastic differential equations.

Trajan
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  • Stochastic analysis is a broad field. Perhaps you could list some specific topics you want to learn. – Nate Eldredge Mar 25 '15 at 23:27
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    There are already several questions on this site asking for SDE textbook recommendations. Please see http://math.stackexchange.com/questions/596317/background-for-studying-and-understanding-stochastic-differential-equations http://math.stackexchange.com/questions/1028502/what-is-an-alternative-book-to-oksendals-stochastic-differential-equation-an-i http://math.stackexchange.com/questions/540641/a-book-text-in-stochastic-differential-equations – Nate Eldredge Mar 26 '15 at 15:12

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personally i like Chung and Williams. Very clear and unambitious whilst maintaining rigour.

See also my recommended book list on www.markjoshi.com

Mark Joshi
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