This book provides an introduction to the rapidly expanding theory of stochastic integration and martingales. The treatment is close to that developed by the Fr

This book is a thorough and self-contained treatise of martingales as a tool in stochastic analysis, stochastic integrals and stochastic differential equations.

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

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