Brownian Motion (Fall 2009)
Tuesday, Thursday 2:30 - 4:00 (PM), in LH III
- Plan of the course (tentative).
- Actual progress of lectures
- Some references
- Peter Mörters and Yuval Peres: Brownian motion (the earlier link pointed to an older version of this book). We shall follow this book to a large extent.
- Rogers and Williams: Diffusions, Markov processes and Martingales - vol I (second ed.)
- Karatzas and Shreve: Brownian motion and Stoshastic Calculus.
- Durrett : Probability: Theory and examples.
- Kallenberg: Foundations of modern Probability.
- Revuz and Yor: Continuous Martingales and Brownian Motion.