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Basic Stochastic Processes

Z. Brzezniak & T. Zastawniak

This is probably one of the best books to begin learning about the sometimes complex topic of stochastic calculus and stochastic processes from a more mathematical approach. Some literature are often accused of unnecessarily complicating the subject when applied to areas of finance. With this book you are allowed to explore the rigorous side of stochastic calculus, yet maintain a physical insight of what is going on. The authors have concentrated on the most important and useful topics that are encountered in common physical and financial systems.

No previous knowedge of stochastic processes is required. The style in which the book is written is very unique as it introduces new concepts and theorems to the reader followed by many exercises, the full solutions of which are shown. It is ideal for students of undergraduate level taking a course in stochastic calculus.

Reviewed by Alessio Farhadi. Click here to buy this book at Amazon.co.uk.

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