by Pierre Devolder: Focuses on stochastic calculus, Lévy processes, and the Black-Scholes model. Ideal for actuaries or risk managers. Available at Barnes & Noble . For Rigorous Mathematical Theory
: The book is "interlaced" with numerous exercises that are essential to the learning path, rather than just optional practice. Basic Stochastic Processes
Depending on your specific goals (finance, engineering, or pure theory), these texts offer different depths: For Financial & Actuarial Depth by Pierre Devolder: Focuses on stochastic calculus, Lévy
by Durrett: Recommended for a solid grounding in martingales, Markov chains, and Brownian motion. or pure theory)
: Probability theory (random variables, expectation, laws of large numbers) and calculus.