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I am in search of a good book for learning Stochastic Calculus from a purely mathematical/statistical point of view. Almost all the books I see are based on Finance. Also, please specify the pre-requisites for this course.

Actually, I am quite knowledgable in Measure Theory, Markov Chains and Martingale Theory. I believe this knowledge should suffice.

I am planning to self-study this subject. Please suggest me good books.

Thank you.

Landon Carter
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  • http://math.stackexchange.com/questions/tagged/stochastic-calculus+book-recommendation – Nate Eldredge Aug 28 '15 at 19:00
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    Possible duplicate of [Stochastic calculus book recommendation](https://math.stackexchange.com/questions/1316164/stochastic-calculus-book-recommendation) –  May 18 '18 at 22:21

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From what I've been told, Brownian Motion and Stochastic Calculus by Karatzas and Shreve is the gold standard.

Continuous Martingales and Brownian Motion by Revuz and Yor is also a great reference. What you have listed as background knowledge is sufficient.

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