Stochastic Calculus: An Introduction Through Theory and Exercises

This book provides a comprehensive introduction to the theory of shastic calculus and some of its applications. It is the only textbook on the subject to include more than two hundred exercises with complete solutions.

After explaining the basic elements of probability, the author introduces more advanced topics such as Brownian motion, martingales and Markov processes. The core of the book covers shastic calculus, including shastic differential equations, the relationship to partial diffe...