All the standard books I know on stochastic calculus work almost exclusively with continuous martingales. What are the standard references for the general theory (with jumps)?
2026-04-13 00:46:04.1776041164
Reference for stochastic calculus with jumps
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Since you mentioned only continuous martingales, note that it is also possible to define stochastic calculus using local martingales and semimartingales.
Some textbooks which cover the more general theory are:
Personally, I like the textbook by Medvegyev since it contains more (worked) examples, however it doesn't contain any exercises.