Background for studying and understanding Stochastic differential equations

Question

Assume I have back ground of the following knowledge based on the textbook as :

ODE : ODE by Tenenbaum

Baby probability : Ross 's baby probability

Baby real anlysis : Bartle's introduction to real analysis (1st undergrad course in advanced cal)

Baby measure theory : Bartle 's element of Lebesgue measure and integration

1 course of undergrad linear algebra, and cal 1-3

what specific areas of math would I need to learn more in order to understand the SDE book of Oksendal : Stochastic Differential Equations: An Introduction with Applications . Many thanks for the suggestion about my background. I will take the 1st graduate course of SDE in the Spring

Answer 1

My two cents...

Put aside all the measure/analysis textbooks. When you learnt calculus in college or high-school you did not have to learn analysis right then, isn't it? So focus on getting a good understanding of Ito calculus first. Focus on being able to compute stuff. Pay attention on the "how to" and not on the "why". Go to a library and check out these two books:

1. Dynamic Optimization: The Calculus of Variations and Optimal Control By Morton I. Kamien, Nancy L. Schwartz (see last chapters only)
2. The Art of Smooth Pasting By Avinash K. Dixit