Diffusions, Markov Processes and Martingales: Volume 2, Ito Calculus - L. C. G. (University of Bath) Rogers - Bog

This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes. Together with its companion, it helps equip graduate students for research into a subject of great intrinsic interest and wide application.