This book originated with several courses given at the University of Texas. The audience consisted of graduate students of mathematics, physics, electrical engineering, and finance. Most had met some stochastic analysis during work in their field; the course was meant to provide the mathematical underpinning. To satisfy the economists, driving processes other than Wiener process had to be treated; to give the mathematicians a chance to connect with the literature and discrete-time martingales, I chose to include driving terms with jumps. This plus a predilection for generality for simplicity's sake led directly to the most general stochastic Lebesgue–Stieltjes integral.

The spirit of the exposition is as follows: just as having finite variation and being right-continuous identifies the useful Lebesgue–Stieltjes distribution functions among all functions on the line, are there criteria for processes to be useful as “random distribution functions.” They turn out to be straight-forward generalizations of those on the line. A process that meets these criteria is called an integrator, and its integration theory is just as easy as that of a deterministic distribution function on the line - provided Daniell's method is used. (This proviso has to do with the lack of convexity in some of the target spaces of the stochastic integral.)

For the purpose of error estimates in approximations both to the stochastic integral and to solutions of stochastic differential equations we define various numerical sizes of an integrator Z and analyze rather carefully how they propagate through many operations done on and with Z, for instance, solving a stochastic differential equation driven by Z.