A Course of Stochastic Analysis

This thoroughly updated second edition offers a unified, modern pathway from the Kolmogorov foundations of probability to the tools of stochastic calculus—and on to applications in finance, statistics, and risk. With clarity and breadth, it develops martingale and semimartingale theory alongside stochastic differential equations, keeping both discrete- and continuous-time viewpoints in play.

What’s new in the 2nd Edition

• Optional Stochastic Analysis on non-“usual” filtrations: the first tex...