Reference Books

Math 280C (Spring 2022)


  1. Billingsley, Patrick: Probability and Measure (3rd ed) [QA273 .B575 1995]
  2. Chung, Kai Lai & R.J. Williams Introduction to stochastic integration (2nd ed) [QA274.22 .C48 1990]
  3. Cinlar, Erhan Probability and Stochastics [click here] [QA274 .C563 2011]
  4. Durrett, Richard: Probability : theory and examples (5th ed) [click here] [QA273 .D865 2010]
  5. Freedman, David Brownian motion and diffusion [QA274.75 .F74]
  6. Karatzas, Ioannis & Steven E. Shreve Brownian motion and stochastic calculus (2nd ed) [click here] [QA274.75 .K37 1991]
  7. Kallenberg, Olav: Foundations of modern probability (3rd ed) [click here] [QA273.K285 2001](2nd ed in Geisel)
  8. Knight, Frank B. Essentials of Brownian motion and diffusion [QA274.75 .K58]
  9. Kopp, P. E. Martingales and stochastic integrals [QA274.5 .K67 1984]
  10. Norris, J.R. Markov Chains [QA274.7 .N67 1997]
  11. Rogers, L.C.G. & Williams, D. Diffusions, Markov processes, and martingales (2 vol.) [QA274.7 .W54 2000 1&2]

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Last updated March 21, 2022