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An Introduction to Stochastic Calculus (2022)
Through a couple of different avenues I wandered, yet again, down a rabbit hole leading to the topic of this post. The first avenue was through my main focus on a particular machine learning topic th
It's not immediately obvious but the rigour needed to properly understand some of the key ideas requires going back to the measure theoretic definition of probability theory, so that's where I start in the background. In fact, based on what I can tell, many introductory courses to stochastic calculus skip over a lot of the theoretical material and simply just jump directly into applications of Itô's lemma because that's mostly what you need. Little did I know I would have to learn more about measure theoretic probability theory (something that was never a priority for me), nor that stochastic calculus needed so technical depth in order to intuitively understand the underlying math (vs. just symbol manipulation).
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