| [Bau92] | Heinz Bauer. Maß- und Integrationstheorie. de Gruyter Lehrbuch. [de Gruyter Textbook]. Walter de Gruyter & Co., Berlin, second edition, 1992. |
| [Bau02] | Heinz Bauer. Wahrscheinlichkeitstheorie. de Gruyter Lehrbuch. [de Gruyter Textbook]. Walter de Gruyter & Co., Berlin, fifth edition, 2002. |
| [Coh80] | Donald L. Cohn. Measure theory. Birkhäuser, Boston, Mass., 1980. |
| [Els05] | Jürgen Elstrodt. Maß- und Integrationstheorie. Springer-Lehrbuch. [Springer Textbook]. Springer-Verlag, Berlin, fourth edition, 2005. Grundwissen Mathematik. [Basic Knowledge in Mathematics]. |
| [Kle13] | Achim Klenke. Wahrscheinlichkeitstheorie. Springer-Lehrbuch Masterclass. Springer Spektrum, third edition, 2013. Umfassende moderne Einführung. |
| [KS91] | Ioannis Karatzas and Steven E. Shreve. Brownian motion and stochastic calculus, volume 113 of Graduate Texts in Mathematics. Springer-Verlag, New York, second edition, 1991. |
| [Øks03] | Bernt Øksendal. Stochastic differential equations. Universitext. Springer-Verlag, Berlin, sixth edition, 2003. An introduction with applications. |
| [Pro04] | Philip E. Protter. Stochastic integration and differential equations, volume 21 of Applications of Mathematics (New York). Springer-Verlag, Berlin, second edition, 2004. Stochastic Modelling and Applied Probability. |
| [RW00a] | L. C. G. Rogers and David Williams. Diffusions, Markov processes, and martingales. Vol. 1. Cambridge Mathematical Library. Cambridge University Press, Cambridge, 2000. Foundations, Reprint of the second (1994) edition. |
| [RW00b] | L. C. G. Rogers and David Williams. Diffusions, Markov processes, and martingales. Vol. 2. Cambridge Mathematical Library. Cambridge University Press, Cambridge, 2000. Itô calculus, Reprint of the second (1994) edition. |
| [RY99] | Daniel Revuz and Marc Yor. Continuous martingales and Brownian motion, volume 293 of Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences]. Springer-Verlag, Berlin, third edition, 1999. |