This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimar

This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimar

The following notes represent approximately the second half of the lectures I gave in the Nachdiplomvorlesung, in ETH, Zurich, between October 1991 and February

A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing to explore stochastic processes in

A highly readable introduction to stochastic integration and stochastic differential equations, this book combines developments of the basic theory with applica

Brownian motion is one of the most important stochastic processes in continuous time and with continuous state space. Within the realm of stochastic processes,

This book provides a comprehensive introduction to the theory of stochastic calculus and some of its applications. It is the only textbook on the subject to inc

This book focuses on the probabilistic theory ofBrownian motion. This is a good topic to center a discussion around because Brownian motion is in the intersec t

This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The f

A highly readable introduction to stochastic integration and stochastic differential equations, this book combines developments of the basic theory with applica