Brownian Motion and Stochastic Calculus

Two of the most fundamental concepts in the theory of stochastic processes are the Markov property and the martingale property. * This book is written for readers who are acquainted with both of these ideas in the discrete-time setting, and who now wish to explore stochastic processes in their continuous­ time context. It has been our goal to write a systematic and thorough exposi­ tion of this subject, leading in many instances to the frontiers of knowledge. At the same time, we have endeavor