Best Stochastic Processes Reference

[DMD]

What's the best textbook as a reference for stochastic processes? I have taken an introductory course, but I would like to do some self study before I start my MFE.

 

[bubblegum]

Diffusions, Markov Processes and Martingales: Volumes 1 and 2, Cambridge press by Rogers and Williams

is the "best reference textbook" for stochastic processes.

Its hardcore stuff, although makes perfect sense if you know all about it, but not easy at all for self study. BUT it is the best reference book, and one I keep on going back to for reference to definitions and theorems.

For a self study, with just a base level maths behind you I would heartly reccommend
Elementary Stochastic Calculus, with Finance in View by Thomas Mikosch

I have both books above as well as many others, but this is just my 2 cent of info, different people like different textbooks, Steven Shreve Vol 2, is my all time favorite financial maths textbook, followed by Cont and Tankov, financial models with jumps.