Also called Ito calculus, the theory of stochastic integration has applications in virtually every scientific area involving random functions. This introductory

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

This is an introduction to stochastic integration and stochastic differential equations written in an understandable way for a wide audience, from students of m

It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts

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