This concisely written book is a rigorous and self-contained introduction to the theory of continuous-time stochastic processes. Balancing theory and applications, the authors use stochastic methods and concrete examples to model real-world problems from engineering, biomathematics, biotechnology, and finance. Suitable as a textbook for graduate or advanced undergraduate courses, the work may also be used for self-study or as a reference. The book will be of interest to students, pure and applied mathematicians, and researchers or practitioners in mathematical finance, biomathematics, physics, and engineering.

Preface Part I. The Theory of Stochastic Processes Fundamentals of Probability Stochastic Processes The Itô Integral Stochastic Differential Equations Part II. The Applications of Stochastic Processes Applications to Finance and Insurance Applications to Biology and Medicine Part III. Appendices A. Measure and Integration B. Convergence of Probability Measures on Metric Spaces C. Maximum Principles of Elliptic and Parabolic Operators D. Stability of Ordinary Differential Equations References