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

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

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 presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of

The contents of this monograph approximate the lectures I gave In a graduate course at Stanford University in the first half of 1981. But the material has been