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Continuous martingales and Brownian motion Daniel Revuz, Marc Yor
Publisher: Springer

Continuous martingales and Brownian motion, Revuz D., Yor M. In this book, which is basically self-contained, the following topics are treated thoroughly: Brownian motion as a Gaussian process, Brownian motion as a Markov process, and Brownian motion as a Continuous Distributions - Probability Examples c-6 Related topics which are treated include Markov chains, renewal theory, the martingale problem, Itô calculus, cylindrical measures, and ergodic theory. Hm, it's covered in Yor's book "Continuous martingales and brownian motion" but only as an exercise, I also believe it's present in "Aspects of brownian motion" but I don't have access to this book as of now. Description for Contuous Martgales and Brownian Motion REPOST. North Holland (Second edition, 1988). Continuous Martingales and Brownian Motion (Grundlehren Der Mathematischen Wissenschaften, Vol 293). Amazon.com: Handbook of Brownian Motion - Facts and Formulae. Watanabe : Stochastic differential equations and diffusion processes. Then, to get a solid background in SDE's you can read Revuz, Yor "Continuous Martingales and Brownian Motion" which is more or a less the standard stoch calc book for pure mathematicians. Yor : Continuous martingales and Brownian motion. Yor, Continuous Martingales and Brownian Motion, Third Edition Corrected. Product Description PThis is a magnificent book! Volume 293, Grundlehren der mathematischen Wissenschaften. Diffusions, Markov Processes, and Martingales: Volume 1.