McKean, H. Stochastic integrals
Henry P. McKean. Stochastic integrals
Series: Probability and mathematical statistics; v. 5
This well-written book has been used for many years to learn about stochastic integrals. The book starts with the presentation of Brownian motion, then deals with stochastic integrals and differentials, including the famous Itô lemma. The rest of the book is devoted to various topics of stochastic integral equations, including those on smooth manifolds. -- E.B. Dynkin, Mathematical Reviews
stochastic integrals, Brownian movement
The Rockefeller University, "McKean, H. Stochastic integrals" (1969). RU Authors. 121.