HW 8, Due April 15th: Oksendal 10.10, 10.11, 10.12, 10.13, 10.14, 10.16

HW 7, Due April 8th: Oksendal 8.6, 8.8, 8.10, 8.13, 8.15

HW 6, Due March 25th: Oksendal 7.10, 7.13, 7.14, 7.16, 7.17, 8.1, 8.2, 8.3

HW 5, Due March 11th: Oksendal 7.1, 7.2, 7.4, 7.6, 7.7, 7.9, 7.15, 7.18, 7.19

HW 4, Due Feb 20th: Oksendal 5.2, 5.5, 5.7, 5.9, 5.11, 5.15 (pp. 54-60)

HW 3, Due Feb 11th: Oksendal 4.1, 4.4, 4.8, 4.10, 4.11, 4.14 (pp. 54-60)

HW 2, Due Feb 4th: Oksendal 3.2, 3.3, 3.4, 3.7, 3.9, 3.10 (pp. 38-39)

HW 1, Due Jan 21st: Oksendal 2.1, 2.6, 2.8, 2.10, 2.12, 2.13 (pp.16-19)

Syllabus

L.C.Evans lecture notes

A.Dembo notes on stochastic processes

Progressive versus non-anticipating stochastic processes



SDE books:
1.Stochastic differential equations : an introduction with applications Oksendal, B. K. (Main 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)
5. Diffusions, Markov Processes and Martingales, Rogers and Williams
Probability books:
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)