This invaluable book consists of two parts. Part I is the second edition of the author's widely a...

This highly readable introduction to stochastic integration and stochastic differential equations...

This book evolved from several stacks of lecture notes written over a decade and given in classes...

This book begins with a historical essay entitled "e;Will the Sun Rise Again?"e; and ends...

This volume shows modern probabilistic methods in action: Brownian Motion Process as applied to t...

This book contains about 500 exercises consisting mostly of special cases and examples, second th...

Since the publication of the first edition of this classic textbook over thirty years ago, tens o...

This volume shows modern probabilistic methods in action: Brownian Motion Process as applied to t...

In this edition two new chapters, 9 and 10, on mathematical finance are added. They are written b...