Reading List
Completion requirements
- H. Oberhauser C8.1 Stochastic differential equations online notes
- M. Yor and D. Revaz, Continuous martingales and Brownian motion (Springer).
- R. Durrett, Stochastic Calculus (CRC Press).
Further Reading:
- N. Ikeda & S. Watanabe, Stochastic Differential Equations and Diffusion Processes (North--Holland Publishing Company, 1989).
- I. Karatzas and S. E. Shreve, Brownian Motion and Stochastic Calculus, Graduate Texts in Mathematics 113 (Springer-Verlag, 1988).
- L. C. G. Rogers & D. Williams, Diffusions, Markov Processes and Martingales Vol 1 (Foundations) and Vol 2 (Ito Calculus) (Cambridge University Press, 1987 and 1994).
- H. P. McKean, Stochastic Integrals (Academic Press, New York and London, 1969).
- B. Oksendal, Stochastic Differential Equations: An introduction with applications (Universitext, Springer, 6th edition). Chapters II, III, IV, V, part of VI, Chapter VIII (F).
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