My book which is published by the European Mathematical Society is now available.

Diffusion Processes and Stochastic Calculus

The content is partially based on the lecture notes in stochastic calculus and rough paths theory which are posted on this blog but the book contains several topics, specially about diffusion processes and semigroups, which are not covered in the blog. The intended readership are graduate students wishing to learn about continuous stochastic processes.

I will maintain a list of errata on this blog.