Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction

This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sci

Stochastic Analysis and Diffusion Processes presents a simple, mathematical introduction to Stochastic Calculus and its applications. The book builds the basic

These notes are based on a postgraduate course I gave on stochastic differential equations at Edinburgh University in the spring 1982. No previous knowledge abo

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