This little book is a brilliant introduction to an important boundary field between the theory of probability and differential equations. —E. B. Dynkin, Mathe

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

The complete theory of stochastic differential equations driven by jumps, their stability, and numerical approximation theories.