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Any stochastic calculus resource recommendations? Tangentially, I've been interested in getting into SDEs, specifically parameter estimation, but don't know eno

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.

snicker7 6y ago
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.