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Achim Klenke. Wahrscheinlichkeitstheorie. Springer-Lehrbuch Masterclass. Springer Spektrum, third edition, 2013. Umfassende moderne Einführung.
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Bernt Øksendal. Stochastic differential equations. Universitext. Springer-Verlag, Berlin, sixth edition, 2003. An introduction with applications.
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