Reading List
Completion requirements
- D. Williams, Probability with Martingales, Cambridge University Press, 1995.
- Lecture Notes for the course.
Further Reading:
- Z. Brzezniak and T. Zastawniak, Basic stochastic processes. A course through exercises. Springer Undergraduate Mathematics Series. (Springer-Verlag London, Ltd., 1999) [more elementary than D. Williams' book, but can provide with a complementary first reading].
- M. Capinski and E. Kopp, Measure, integral and probability, Springer Undergraduate Mathematics Series. (Springer-Verlag London, Ltd., second edition, 2004).
- R. Durrett, Probability: Theory and Examples (Second Edition Duxbury Press, Wadsworth Publishing Company, 1996).
- A. Etheridge, A Course in Financial Calculus, (Cambridge University Press, 2002).
- J. Neveu, Discrete-parameter Martingales (North-Holland, Amsterdam, 1975).
Last modified: Tuesday, 14 March 2023, 7:27 PM