Looking for the foundations of Stochastic Processes? This is the best book to start with “Stochastic Processes in Physics ans Chemistry” by N.G. Van Kampen. Why? Because it goes to the deepest assumption that a stochastic equation carries to your application. If you don’t understand the assumptions on which a stochastic equation is based, well, don’t use it! I’m saying this because I’ve made the same mistake in the past. Using stochastic differential equations each time you have to model the evolution of something without knowing the assumptions that you are carrying with it is the first step to failure.

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