r/math•
Hilbert84

Learning Probability and Stochastic Differential Equations

I'm interested in learning about Stochastic PDEs. I, unfortunately, have no background in probability. I have a good background in analysis, including several graduate courses on real and functional analysis. I'm not sure where exactly to start. I'm usually familiar with the well known go-to books for each subject, but I've completely ignored probability and anything stochastic until now.

I'm hoping someone can give some suggestions for beginner books and maybe some detail on pre-requisites. I searched around on this subreddit and found mention of Oksendal's book, which seemed to be well liked. Do I need to first go through a probability theory textbook? Thanks!

Posted Apr 13, 2013, 10:57 PM UTC

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