Martingale

Continuous martingales and Brownian motion

Daniel Revuz, Marc Yor.

Statistics of random processes

Robert S. Liptser, Albert N. Shiryaev ; translated by A.B. Aries ; translation editor, Stephen S. Wilson.

Probability with martingales

David Williams.

Introduction to stochastic integration

K.L. Chung, R.J. Williams.

Counting processes and survival analysis

Thomas R. Fleming, David P. Harrington.

Der Itô-Kalkül: Einführung und Anwendungen

Thomas Deck

Classical potential theory and its probabilistic counterpart

J.L. Doob.

Capacités et processus stochastiques.

Claude Dellacherie

Séminaire de Probabilités 1967-1980: A Selection in Martingale Theory (Lecture Notes in Mathematics / Séminaire de Probabilités)

Michel Emery, M. Yor

Convergence of stochastic processes

David Pollard.