This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimar

A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing to explore stochastic processes in

"This is a magnificent book! Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems con

BROWNIAN MOTION CALCULUS Brownian Motion Calculus presents the basics of Stochastic Calculus with a focus on the valuation of financial derivatives. It is inten

Brownian motion is one of the most important stochastic processes in continuous time and with continuous state space. Within the realm of stochastic processes,