Reference Books

Math 286 (Fall 2020)

• Supplemental to Math 286
  1. Chung, K.L. and R.J. Williams: Introduction to Stochastic Integration (2nd ed). [QA274.22 .C48 1990]
  2. Elliott, R.J.: Stochastic Calculus and Applications. [QA274.2 .E44 1982]
  3. Friedman, A.: Stochastic Differential Equations and Applications (2 vol). [QA274.23 .F74]
  4. Karatzas, I. and Shreve, S.E.: Brownian Motion and Stochastic Calculus (2nd ed). [QA274.75 .K37 1991]
  5. Kallenberg, O.: Foundations of Modern Probability. (2nd ed.) [QA273.K285 2001]
  6. Kopp, P.E.: Martingales and Stochastic Integrals. [QA274.5 .K67 1984]
  7. Rogers, L.C.G. and Williams, D.: Diffusions, Markov processes, and Martingales (2 vol).
  
  
• More advanced reading
  1. Jacod, J., and Shiryaev, A. N.: Limit Theorems for Stochastic Processes. [QA274.5 .J33 1987]
  2. McKean, Henry P.: Stochastic Integrals. [QA273 .M313]
  3. Protter, P.E.: Stochastic Integration and Differential Equations: A New Approach. [QA274.22 .P76 1992]
  4. Revuz, D and Yor, M.: Continuous Martingales and Brownian Motion (3rd ed). [QA274.5 .R48 1999]