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Diffusions, Markov Processes and Martingales: Volume 2, Itô Calculus

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The second volume concentrates on stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes. These subjects are made accessible in the many concrete examples that illustrate techniques of calculation, and in the…
Diffusions, Markov Processes, and Martingales: Volume 1, Foundations

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Now available in paperback, this celebrated book remains a key systematic guide to a large part of the modern theory of Probability. The authors not only present the subject of Brownian motion as a dry part of mathematical analysis, but convey its real meaning…