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)