這是第二版的手稿，完成於2009.08.17 頁數:333 經典人物Gallager不多加介紹 這本書對Discrete-time Stochastic Proccesses描述非常透徹，很值得一讀的書！

Introduction to stochastic calculus with applications.pdf Fima C.Klebaner

In probability theory, a stochastic process , or sometimes random process (widely used) is a collection of random variables; this is often used to represent the evolution of some random value, or system, over time. This is the probabilistic counterpart to a deterministic process (or deterministic system). Instead of describing a process which can only evolve in one way (as in the case, for example, of solutions of an ordinary differential equation), in a stochastic or random process there is some indeterminacy: even if the initial condition (or starting point) is known, there are several (often infinitely many) directions in which the process may evolve. -Wiki

Stochastic Differential Equations, An Introduction with Applications, Sixth Edition, Springer-Verlag Heidelberg New York 2003, by Bernt Øksendal. This is a not very clear version.

Discrete Stochastic Processes Gallager

随机过程模型、估计与控制的权威之作，内容通俗易懂，是一本非常不错的入门级读物。

Stochastic calculus for finance I_by S.E.Shreve.pdfStochastic calculus for finance I_by S.E.Shreve.pdfStochastic calculus for finance I_by S.E.Shreve.pdfStochastic calculus for finance I_by S.E.Shreve.pdfStochastic calculus for finance I_by S.E.Shreve.pdf

金融随机分析经典教材，包括上下卷。第一卷主要包括随机分析的基础性知识以及离散时问模型，利用较简单的离散时间二叉树模型给出了无套利期权定价方法；虽只用到简单的数学，但其中涉及的风险中性定价的概念卜分深刻。第二卷主要介绍连续时问模型及其在金融学中的应用；其中包含了较为实际的、具有很强操作性的定量经济学内容，同时也包含了较为完整的随机分析理论。全书各章均有评注和习题。

一本关于随机过程和滤波理论的基础书籍。包括随机过程，随机不等式，滤波理论，线性滤波和非线性滤波。

非常好的随机模拟资料，适合随机建模和随机开发的项目，该书会有很大的启发