Reading List

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1. J. Obloj, Continuous martingales and stochastic calculus online notes.
   Students are encouraged to study all the material up to and including the Ito formula prior to the course.
2. D. Revuz and M. Yor, Continuous martingales and Brownian motion (3rd edition, Springer).

1. I. Karatzas and S. E. Shreve, Brownian Motion and Stochastic Calculus, Graduate Texts in Mathematics 113 (Springer-Verlag, 1988).
2. 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).
3. R. Durrett, Stochastic Calculus (CRC Press).
4. B. Oksendal, Stochastic Differential Equations: An introduction with applications (Universitext, Springer, 6th edition).
5. N. Ikeda & S. Watanabe, Stochastic Differential Equations and Diffusion Processes (North--Holland Publishing Company, 1989).
6. H. P. McKean, Stochastic Integrals (Academic Press, New York and London, 1969).