Provides a concise and rigorous presentation of stochastic integration and stochastic calculus for continuous semimartingales

Presents major applications of stochastic calculus to Brownian motion and related stochastic processes

Includes important aspects of Markov processes with applications to stochastic differential equations and to connections with partial differential equations

Jean-François Le Gall is a well-known specialist of probability theory and stochastic processes. His main research achievements are concerned with Brownian motion, superprocesses and their connections with partial differential equations, and more recently random trees and random graphs. He has been awarded several international prizes in mathematics, including the Loeve Prize and the Fermat Prize, and gave a plenary lecture at the 2014 International Congress of Mathematicians. He is currently a professor of mathematics at Université Paris-Sud and a member of the French Academy of Sciences.