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- Introduction to the Theory of Random Processes (Graduate Studies in Mathematics)
- Introduction to the Theory of Diffusion Processes (Translations of Mathematical Monographs)
- Stochastic PDE's and Kolmogorov Equations in Infinite Dimensions: Lectures given at the 2nd Session of the Centro Internazionale Matematico Estivo (C.I.M.E.)held ... Mathematics / Fondazione C.I.M.E.,
- Controlled Diffusion Processes (Stochastic Modelling and Applied Probability)