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Cet ouvrage est le r\u00e9sultat d'un cours de master 2 enseign\u00e9 par l'auteur \u00e0 l'universit\u00e9 Pierre et Marie Curie et \u00e0 l'universit\u00e9 Paris-Sud. Bien qu'introductif, ce cours balaie les principales notions du calcul stochastique pour le mouvement brownien dans un premier temps, puis plus g\u00e9n\u00e9ralement pour les semimartingales continues en incluant un chapitre sur les processus de Markov et un chapitre sur les \u00e9quations diff\u00e9rentielles stochastiques.  Le livre est de mon point de vue tr\u00e8s bien organis\u00e9 et l'auteur introduit progressivement les notions fondamentales de la th\u00e9orie. Ainsi, apr\u00e8s un chapitre de remise \u00e0 niveau sur les vecteurs et processus gaussiens, l'auteur donne la d\u00e9finition et les principales propri\u00e9t\u00e9s du mouvement brownien dans le chapitre 2. Dans le chapitre 3, la seconde notion fondamentale de la th\u00e9orie \u00e0 savoir la notion de filtration et de martingale est \u00e9tudi\u00e9e. Vient ensuite l'introduction des semimartingales \u00e0 trajectoires continues dans le chapitre 4, puis la construction de l'int\u00e9grale d'It\u00f4 dans le chapitre 5 qui est \u00e0 la base du calcul stochastique \u00e0 proprement parler. Cet outil permet de donner un sens aux \u00e9quations diff\u00e9rentielles stochastiques du chapitre 7 tr\u00e8s fortement reli\u00e9es \u00e0 la th\u00e9orie des processus de Markov consid\u00e9r\u00e9e dans le chapitre 6.  En r\u00e9sum\u00e9, cet ouvrage propose un cours introductif balayant les principales notions du calcul stochastique. Les explications sont claires, pr\u00e9cises et d\u00e9taill\u00e9es. Enfin, chaque chapitre est compl\u00e9t\u00e9 par une s\u00e9rie d'exercices. 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