Stochastic Differential Equations: Lectures given at a Summer School of the Centro Internazionale Matematico Estivo

C. Doleans-Dade: Stochastic processes and stochastic differential equations. A. Friedman: Stochastic differential equations and applications. D.W. Stroock, S.R.S. Varadhan: Theory of diffusion processes. G.C. Papanicolaou: Wave propagation and heat conduction in a random medium. C. Dewitt Morette: A stochastic problem in Physics. G.S. Goodman: The embedding problem for stochastic matrices.