References

1
David Williams, Probability with Martingales
(Cambridge University Press, Cambridge, 1991)

2
W. Gardiner, Handbook of stochastic methods
(Springer, Berlin, 1990)

3
L.C.G. Rogers and David Williams,
Diffusions, Markov Processes and Martingales. Vol 2: Itô calculus
(Wiley, Chichester, 1987)

4
Ioannis Karatzas and Steven E. Shreve, Brownian Motion and Stochastic Calculus
(Springer, New York, 1988)

5
H. Kunita Stochastic Flows and Stochastic Differential Equations
(Cambridge University Press, Cambridge, 1990)

6
Daniel Revuz and Marc Yor, Continuous Martingales and Brownian Motion
(Springer, Berlin, 1991)

7
Samuel Karlin and Howard M. Taylor, A second course in stochastic processes
(Academic, Orlando, 1981)

8
Daniel T. Gillespie, The mathematics of Brownian motion and Johnson noise
Am. J. Phys. 64 225-240 (1996).