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MArkov property - Stochastic calculus for finance

Joined
6/26/18
Messages
63
Points
18
Dear experts,

While reading Steven Shreve Book 2, Continuous-time Models, there is reference to Markov property across various topics.

I can understand what is being explained, in isolation, to the extent it is discussed for the topic in the book.

I need to understand it better (intellectually) by reading a book on the topic rather than interpreting by reference.

Also, I struggle to understand the distinction between Independence lemma and Markov.

Can I request someone to recommend a book that is relevant from Stochastic calculus for finance?

I have come across Markov-Chains topics in the Youtube channels. I am not sure if this is relevant.

Kindly advice/guide.



Thank you
 
Dear kdmfe,

I do not consider myself an expert in Stochastic Calculus but a student who began the journey earlier. I would recommend the following books to help you get a better grasp of the concepts you mentioned.

1. Lecture notes for stochastic processes - An introduction to Markov Chains by Anders Tolver

2. Introduction to Stochastic Processes, Second Edition by Gregory F. Lawler

3. Modeling and Analysis of Stochastic Systems, Third Edition by Vidyadhar G. Kulkarni

Most of your questions, if not all, will be answered when you go through those materials.

All the best!
 
Thank you Sam for your prompt response, I did not get an opportunity to look into these books. I will come back to you shortly.
 
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