This volume shows modern probabilistic methods in action: Brownian Motion Process as applied to t...

This highly readable introduction to stochastic integration and stochastic differential equations...

Since the publication of the first edition of this classic textbook over thirty years ago, tens o...

In this edition two new chapters, 9 and 10, on mathematical finance are added. They are written b...

This book evolved from several stacks of lecture notes written over a decade and given in classes...

This invaluable book consists of two parts. Part I is the second edition of the author's widely a...

This book contains about 500 exercises consisting mostly of special cases and examples, second th...

The theory of Markov chains, although a special case of Markov processes, is here developed for i...

From the reviews of the First Edition: "e;This excellent book is based on several sets of lec...