Introduction to stochastic calculus (Q5895036)

This book is a volume of the \textit{Indian Statistical Institute Series} published by Springer. It is written by well-known scientists and contributors in stochastic calculus and its applications. It is remarkable to see that the book is dedicated to the memory of the late Professor Gopinath Kallianpur (1925--2015). Based on measure-theoretic probability, the authors have written a comprehensive course on stochastic calculus. Let us list the chapter names (some key words and/or phrases are given in brackets): 1. Discrete parameter martingales (filtration, Doob's maximal inequality). 2. Continuous-time processes (martingales and stopping times). 3. The Itô's Integral (Brownian motion, quadratic variation, multidimensional Itô's integral). 4. Stochastic Integration (quadratic variation, stochastic integrators). 5. Semimartingales (semimartingales, Dellacherie-Meyer-Mokobodzky-Bichteler theorem) 6. Pathwise formula for the stochastic integral (stochastic integral). 7. Continuous semimartingales (random time change, weak solution of SDE). 8. Predictable increasing processes (predictable stopping time, Doob-Meyer decomposition). 9. The Davis inequality (Burkholder-Davis-Gundy inequality, sigma-martingale). 10. Integral representation of martingales (multidimensional semimartingale, integral representation, connection to mathematical finance). 11. Dominating process of a semimartingale (optimization result, Metivier-Pellamail inequality, Emery topology). 12. SDE Driven by r.c.l.l. semimartingales (right-continuous, left-hand-limit, stochastic differential equation, Euler-Peano approximation). 13. Girsanov theorem (Cameron-Martin formula, Girsanov theorem, Girsanov-Meyer theorem). There is a Bibliography and Index. The material included into this book is well chosen and well organized. Precise definitions are given to all notions followed by a series of important results (theorems, lemmas, corollaries). Complete proofs are provided for almost all statements. The style is compact and clear. The presentation is well complemented by a large number of useful remarks and exercises. Graduate students attending university courses in modern probability theory and its applications can benefit a lot from working with this book. There are good reasons to expect that the book will be met positively by students, university teachers and young researchers.