Introduction to Stochastic Integration
Williams, R. J. / Chung, K. L.
A highly readable introduction to stochastic integration and stochastic 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 stochastic calculus, following a course in probability. Using the modern approach, the stochastic integral is defined for predictable integrands and local martingales, then Itô’s change of variable formula is ...