Stochastic Integrals: An Introduction (Advanced Lectures in Mathematics)

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This text introduces at a moderate speed and in a thorough way the basic concepts of the theory of stochastic integrals and Ito calculus for sem i- martingales. There are many reasons to study this subject. We are fascinated by the contrast between general measure theoretic arguments and concrete probabilistic problems, and by the own flavour of a new differential calculus. For the beginner, a lot of work is necessary to go through this text in detail. As areward it should enable her or hirn to study more advanced literature and to become at ease with a couple of seemingly frightening concepts. Already in this introduction, many enjoyable and useful facets of stochastic analysis show up. We…