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

Most useful for graduate students in engineering and finance who have a basic knowledge of probability theory, this volume is designed to give a concise underst

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