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

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

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