Semimartingale Theory and Stochastic Calculus 1st Edition
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Top international reviews
While the theory naturally gets harder in the second part of the book, and thus a bit more difficult to read, the results are still presented in a comprehensible fashion. It is in the first part, however, that the book really shines. While other books such as Dellacherie & Meyer (1978) and Elliott (1982) cover the same ground regarding the general theory of proceses and the quadratic variation, the presentation here is by far the most clear and comprehensive.
This book is absolute gold for anyone interested in the general theory of processes. For those with an extra apetite, it can also be combined for great results with Elliott (1982) and Rogers & Williams (2000).