This is a substantial expansion of the first edition. The last chapter on stochastic differential equations is entirely new, as is the longish section 9.4 on the Cameron-Martin-Girsanov formula. Illustrative examples in Chapter 10 include the warhorses attached to the names of L. S. Ornstein, Uhlenbeck and Bessel, but also a novelty named after Black and Scholes. The Feynman-Kac-Schrooinger development (6.4) and the material on re- flected Brownian motions (8.5) have been updated. Needless to say, there are scattered over the text minor improvements and corrections to the first edition. A...
This is a substantial expansion of the first edition. The last chapter on stochastic differential equations is entirely new, as is the longish section...
