1. D. Williams, Probability with Martingales, Cambridge University Press, 1995.
  2. Lecture Notes for the course.
Further Reading:
  1. 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].
  2. M. Capinski and E. Kopp, Measure, integral and probability, Springer Undergraduate Mathematics Series. (Springer-Verlag London, Ltd., second edition, 2004).
  3. R. Durrett, Probability: Theory and Examples (Second Edition Duxbury Press, Wadsworth Publishing Company, 1996).
  4. A. Etheridge, A Course in Financial Calculus, (Cambridge University Press, 2002).
  5. J. Neveu, Discrete-parameter Martingales (North-Holland, Amsterdam, 1975).
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