Sunday, September 21, 2008

Stochastic Processes and Stochastic Differential Equations

D. Applebaum, Lévy processes and stochastic calculus, Cambridge, 2004
J. Bertoin, Lévy Processes, Cambridge University Press, 1998
A. N. Borodin and P. Salminen, Handbook of Brownian motion, 2nd edition, Birkhaüser, 2002
A. Friedman, Stochastic differential equations and applications, Academic, 1975
B. E. Øksendal, Stochastic Differential Equations, 6th edition, Springer, 2003
J. Jacod and A. N. Shirayev, Limit Theorems for Stochastic Processes, 2nd edition, Springer, 2002
I. Karatzas and S. E. Shreve, Brownian Motion and Stochastic Calculus, Springer, 1997
S. Karlin and H. M. Taylor, A First Course on Stochastic Processes, Academic, 1975
S. Karlin and H. M. Taylor, A Second Course on Stochastic Processes, Academic, 1981
P. Malliavin, Stochastic Calculus of Variations in Mathematical Finance, Springer, 2006
D. Nualart, The Malliavin Calculus and Related Topics, Springer, 2006
P. E. Protter, Stochastic Integration and Differential Equations, 2nd edition, Springer, 2003
D. Revuz and M. Yor, Continuous Martingales and Brownian Motion, 3rd edition, Springer, 1999
L. C. G. Rogers and D. Williams, Diffusions, Markov processes, and martingales I, II, Cambridge University Press, 2000
K-I. Saito, Lévy Processes and Infinitely Divisible Distributions , Cambridge University Press, 1999
D. W. Stroock and S. R. S. Varadhan, Multidimensional Diffusion Processes, Springer, 1997