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A comment on Ask HN: What kind of math do you study in your free time?. Parent comment

Re:Ask HN: What kind of math do you study in your free time? by aaron-santos on Thursday June 11, 2020 @04:46PM (#23493125)
Any stochastic calculus resource recommendations? Tangentially, I've been interested in getting into SDEs, specifically parameter estimation, but don't know enough about the topic to know good resources from bad.
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Re:Ask HN: What kind of math do you study in your free time? by snicker7 on Friday June 12, 2020 @03:03PM (#23502496)
In grad school, I used "Stochastic Calculus for Mathematical Finance II" by Shreve. Its pretty rigorous/technical (don't bother with volume I, imo).

I don't know of any decent books on estimating parameters for SDE's. Though I suppose one way of going about it is as follows: convert the SDE to a discrete time series using Euler method and use maximum likelihood estimation.

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