Literature Request: Stochastic Calculus

Question

Hello does can anyone tell me what is required to learn Stochastic Differential Equations? Anybody have any really good resources that make learning the subject easy?

Also is it true that not many such equations have been solved? I read somewhere that it was almost futile to learn it since very few equations have been solved and no one used the either way. Is this all true?

I am deeply interested in the subject, but I only know up to Differential equations and a few methods in solving PDEs

Answer 1

Try the MIT Open Courseware lectures on youtube:

https:///ocw.mit.edu/courses/mathematics/18-s096-topics-in-mathematics-with-applications-in-finance-fall-2013/

Answer 2

I recommend checking out An Introduction to Stochastic Differential Equations by Evans. It's only 150 pages and appears to be rather readable. Evans's book Partial Differential Equations has become very popular for graduate level PDEs courses.