Main group 1

• Øksendal, Bernt, Stochastic differential equations: an introduction with applications, 6. ed., Berlin, Springer, 2003Compulsory*
• Revuz, Daniel; Yor, Marc, Continuous martingales and Brownian motion, 3. ed., Berlin, Springer, cop. 1999
• Karatzas, Ioannis; Shreve, Steven E., Brownian motion and stochastic calculus, 2. ed., Berlin, Springer, cop. 1991

* Compulsory