Diffusion processes

Diffusions, Markov processes, and martingales

L.C.G. Rogers and David Williams.

Deterministic and Stochastic Optimal Control

Wendell H. Fleming, Raymond W. Rishel.

Stochastic differential equations and diffusion processes

by Nobuyuki Ikeda and Shinzo Watanabe.

Stochastic PDE's and Kolmogorov Equations in Infinite Dimensions: Lectures given at the 2nd Session of the Centro Internazionale Matematico Estivo (C.I.M.E.)held ... Mathematics / Fondazione C.I.M.E., Firenze)

N. V. Krylov, J. Zabczyk, N.V. Krylov, M. Röckner

Multidimensional Diffusion Processes (Classics in Mathematics)

Daniel W. Stroock, S.R.S. Varadhan

Large deviations and the Malliavin calculus

Jean-Michel Bismut.

Random Walks and Diffusions on Graphs and Databases: An Introduction

by Philippe Blanchard, Dimitri Volchenkov

Maximum Principles On Riemannian Manifolds And Applications (Memoirs of the American Mathematical Society)

Alberto G. Setti, Stefano Pigola, Marco Rigoli

Lectures on stochastic analysis: diffusion theory

Daniel W. Stroock.

Schrödinger diffusion processes

Robert Aebi.