Penn State University Department of Mathematics Eberly College of Science
Handouts and Software

Textbook: L.C.Evans lecture notes

A.Dembo notes on stochastic processes

Progressive versus non-anticipating stochastic processes

S.R.S.Varadhan notes on large deviations

Perron-Frobenius theorems for positive matrices

SDE books on reserve in the Math library:
1. Stochastic differential equations : an introduction with applications Oksendal, B. K. (good classical texbook)
2. Brownian motion and stochastic calculus Karatzas, I. & Shreve, S. E. (contains a lot of details)
3. Stochastic calculus : a practical introduction Durrett, R. (another good texbook)
4. Stochastic integrals McKean, H. P. (a short book on stochastic integration)

Probability books on reserve in the Math library:
1. Probability theory : an introductory course Sinai,Ya.G. (lecture notes for math majors given to freshmen at Moscow State University)
2. Probability and random processes for electrical and computer engineers Gubner, J. A. (contains a lot of examples)
3. Probability with martingales Williams, D. (classical textbook)
4. Elementary probability theory with stochastic processes Chung, K. L.
5. An introduction to probability theory and its applications Feller, W. (very classical)
6. Probability and random processes Grimmett, G.
7. Probability Breiman, L. (Evans often refers to it in his notes)