Brownian Motion and Stochastic Calculus (Corrected 1998. Corr. 6th Printing 2004)Paperback - Corrected 1998. Corr. 6th Printing 2004, 16 August 1991

This book is designed as a text for graduate courses in stochastic processes. It contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The text is complemented by a large number of problems and exercises.