Introduction to Stochastic Integration

A highly readable introduction to shastic integration and shastic differential equations, this book combines developments of the basic theory with applications. It is written in a style suitable for the text of a graduate course in shastic calculus, following a course in probability.

Using the modern approach, the shastic integral is defined for predictable integrands and local martingales; then It’s change of variable formula is developed for continuous martingales. Applications includ…