Henry P. McKean. Stochastic integrals

Series: Probability and mathematical statistics; v. 5

This well-written book has been used for many years to learn about stochastic integrals. The book starts with the presentation of Brownian motion, then deals with stochastic integrals and differentials, including the famous Itô lemma. The rest of the book is devoted to various topics of stochastic integral equations, including those on smooth manifolds. -- E.B. Dynkin, Mathematical Reviews

1969

Academic Press