These lecture notes have been developed over several
semesters with the assistance of students in the course. For many (most)
results, only incomplete proofs are given. Gaps in the proofs are numerous and
do not need to be reported; however, the author would appreciate learning of
any other errors. kurtz@math.wisc.edu
Good problems for this course are difficult to come by. Please feel free to
borrow mine (many of which have been borrowed from other places), and I would
appreciate copies of yours.
No attempt has been made to give references for the original sources of the
material included. For an excellent and systematic treatment, complete with
proofs and references, see Stochastic Integration And Differential
Equations. A New Approach by