bibliografía

seguiremos fundamentalmente el libro

• L.C. Evans, An introduction to stochastic differential equations, Version 1.2, http://math.berkeley.edu/~evans/SDE.course.pdf

bibliografía complementaria

• B. Oksendal. Stochastic differential equations, Cuarta edición, Springer, Berlin, 1995.

• L. Arnold. Stochastic differential equations: theory and applications, Versión original en alemán, Wiley-Intersci., New York, 1974

• K.L. Chung. Elementary probability theory with stochastic processes, Segunda edición, Undergraduate Texts in Mathematics, Springer-Verlag New York, New York-Heidelberg, 1975. 

• D.J. Higham. An algorithmic introduction to numerical simulation of stochastic differential equations. (English. English summary), SIAM Rev. 43 (2001), no. 3, 525--546 (electrónico).

• J. Fernández Bonder y P. Groisman. Explosiones en ecuaciones diferenciales estocásticas, Cursos y Seminarios del Departamento de Matemática, FCEN, UBA.

• I. Karatzas y S.E. Shreve. Brownian motion and stochastic calculus, volume 113 of Graduate Texts in Mathematics. Springer-Verlag, New York, second edition, 1991.

• E. Platen.  An introduction to numerical methods for stochastic differential equations. In Acta numerica, 1999, volume 8 of Acta Numer., pages 197–246. Cambridge Univ. Press, Cambridge, 1999.

• P. E. Kloeden and E. Platen. Numerical solution of stochastic differential equations, volume 23 of Applications of Mathematics (New York). Springer-Verlag, Berlin, 1992.

• M. Hirsch, S. Smale. Differential equations, dynamical systems, and linear algebra. Pure and Applied Mathematics, Vol. 60. Academic Press [A subsidiary of Harcourt Brace Jovanovich, Publishers], New York-London, 1974. xi+358 pp.

• Y. Péres, An invitation to sample paths of Brownian motion. Lecture notes edited by B. Virág, E. Mossel, and Y. Xiao.