Stochastic differential equations : an introduction with applications

Bernt Øksendal.

6th ed.

Berlin : Springer, ©2003.

Brownian motion and stochastic calculus

Ioannis Karatzas, Steven E. Shreve.

2nd ed.

New York : Springer, ©1998.

Controlled Markov processes and viscosity solutions

Wendell H. Fleming, H. Mete Soner.

New York : Springer-Verlag, ©1993.

Stochastic calculus and applications

Robert J. Elliott.

New York : Springer-Verlag, ©1982.

Essentials of Brownian motion and diffusion

by Frank B. Knight.

Providence, R.I. : American Mathematical Society, 1981.

Controlled stochastic processes

I. I. Gihman, A. V. Skorohod ; translated by Samuel Kotz.

New York : Springer-Verlag, ©1979.

Multidimensional diffusion processes

Daniel W. Stroock, S. R. Srinivasa Varadhan.

Berlin : Springer, ©1979.

Diffusions, Markov processes, and martingales

David Williams.

Chichester : Wiley, ©1979-©1987.

Probability methods for approximations in stochastic control and for elliptic equations

Harold J. Kushner.

New York : Academic Press, 1977.

Stochastic differential equations and applications

Avner Friedman.

New York : Academic Press, 1975-1976.

The theory of stochastic processes

I. I. Gihman, A. V. Skorohod ; translated from the Russian by S. Kotz.

Berlin : Springer-Verlag, 1974-©1979.

Analytical treatment of one-dimensional Markov processes

Petr Mandl.

Prague : Academia, Publishing House of the Czechoslovak Academy of Sciences ; Berlin ; Heidelberg ; New York : Springer-Verlag, 1968.

Diffusion processes and their sample paths

by Kiyosi Itô and Henry P. McKean, Jr.

New York : Academic Press ; Berlin : Springer-Verlag, 1965.