R. Durrett, Probability: Theory and Examples, Thomson, 2000
B. Oksendal, Stochastic differential equations, Springer, 1994
L. Koralov, Y. Sinai, Theory of probability and random processes, Springer 2007
I. Karatzas, S. Shreve, Brownian motion and stochastic calculus, Springer 1991
P. Baldi, Equazioni differenziali stocastiche e applicazioni, Pitagora U.M.I. 2000
Programma, testi e modalita' di esame
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Diario delle lezioni
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Probability web
Einstein's Explanation of Brownian Motion
Edward Nelson's Dynamical Theories of Brownian Motion
Yuval Peres' Invitation to Sample Paths of Brownian Motion
Varadhan's lecture notes on stochastic processes
Note di Lorenzo Bertini sul moto browniano
Lawrence C. Evans' lecture notes