Karatzas, Ioannis; Shreve, Steven E. Brownian motion and stochastic calculus. 2nd ed. (English) Zbl 0734.60060 Graduate Texts in Mathematics, 113. New York etc.: Springer-Verlag. xxiii, 470 p. DM 68.00/pbk (1991). The book under review is an almost unchanged softcover edition of the first (hardcover) edition of 1988 (Zbl 0638.60065). The bibliography has been updated. Reviewer: M.Scheutzow (Berlin) Cited in 4 ReviewsCited in 2136 Documents MathOverflow Questions: What work has been done on SDE with diffusion coefficients of bounded variation in \(\mathbb R^d\)? MSC: 60Hxx Stochastic analysis 60J65 Brownian motion 60-02 Research exposition (monographs, survey articles) pertaining to probability theory 60J55 Local time and additive functionals Keywords:Brownian motion; semimartingales related to the Brownian motion; Doob- Meyer decomposition; Haar functions; Girsanov theorem; local time; Feynman-Kac formula; stochastic differential equations; comparison of solutions; martingale problem Citations:Zbl 0638.60065 PDF BibTeX XML Cite \textit{I. Karatzas} and \textit{S. E. Shreve}, Brownian motion and stochastic calculus. 2nd ed. New York etc.: Springer-Verlag (1991; Zbl 0734.60060) OpenURL