Stochastic integration and differential equations
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In the new edition several changes have been made, most of them are inclusions of results achieved since the appearance of the first edition (1990; Zbl 0694.60047). In particular, Chapter III, ``Semimartingales and decomposable processes, has been rewritten. Now the notion of predictability and R. Bass' proof of the Doob-Meyer decomposition theorem are used where before the presentation had been based on Meyer's notion of natural processes. A section on compensators is added. In Chapter IV the treatment of martingale representation now includes the Jacod-Yor theorem and a section on sigma martingales. Chapter V has a new section, entitled ``Eclectic useful results on stochastic differential equations. Chapter VI, ``Expansions of filtrations, is altogether new. Another addition are exercises, to be found at the end of each chapter. Altogether I agree with the previous reviewer, the book provides an excellent basis for lecturing or self-teaching.
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