Urgently need Stochastic Calculus help!!!

[elizabeth]

Hi,

I am new to stochastic calculus and finding some difficulty understanding things. How to approach these topics like martingale, linear diffusion SDEs, expectation of martingale, Ito stochastic integral formulas, solving Ito diffusion SDEs and finding expectation and variances, etc. Looking forward to some reply soon...

Thanks!
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[Eugene Krel]

Have you tried reading the book that goes with your Stochastic Calculus class? You basically listed a good portion of topics covered in one of those classes.

Stochastic calculus - Wikipedia, the free encyclopedia

 

[alain]

How to approach these topics like martingale, linear diffusion SDEs, expectation of martingale, Ito stochastic integral formulas, solving Ito diffusion SDEs and finding expectation and variances, etc.

time to hit the books. Stoch Calculus is very abstract. In which context are you applying it? Physics? Chemistry? Finance?

 

[Bastian Gross]

If you have not a sense for probability and stochastic, it will be hard to learn such things by your own!