The book is designed for a two-course sequence in stochastic models. The first six chapters can form the first course, and the last four chapters, the second course. The book uses a large number of examples to illustrate the concepts as well as computational tools and typical applications. Each chapter also has a large number of exercises collected at the end.

Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance. The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements of results, plausibility arguments, and even some proofs, but more importantly intuitive explanations developed and refine through classroom experience with this material are provided. The book includes a self-contained treatment of the probability theory needed for stochastic calculus, including Brownian motion and its properties. Advanced topics include foreign exchange models, forward measures, and jump-diffusion processes.

SDETools：Matlab工具箱，用于随机微分方程的数值解

The fourth edition of "Probability, Random Variables and Stochastic Processes" has been updated significantly from the previous edition, and it now includes co-author S. Unnikrishna Pillai of Polytechnic University. The book is intended for a senior/graduate level course in probability and is aimed at students in electrical engineering, math, and physics departments. The authors' approach is to develop the subject of probability theory and stochastic processes as a deductive discipline and to illustrate the theory with basic applications of engineering interest.

Stochastic Models Estimation and Control 1,2,3卷，高清PDF，文字可选，是时候收藏一波了

S. R. Pliska, A stochastic calculus model of continuous trading: Optimal portfolios optimiza- tion, Math. Oper. Res., 11(1986), pp. 371-384.

本书描述了一般状态空间马尔可夫链的现代理论，并将其应用于运筹学，时间序列分析以及系统和控制理论。

随机过程和滤波理论 作者：Andrew H

Adventures in Stochastic Processes (Sidney Resnick)英文原版 随机过程经典读物

This definitive textbook provides a solid introduction to discrete and continuous stochastic processes, tackling a complex field in a way that instills a deep understanding of the relevant mathematical principles, and develops an intuitive grasp of the way these principles can be applied to ...