This is a substantial expansion of the first edition. The last chapter on stochastic differential equations is entirely new, as is the longish section §9.4 on

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

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

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