Essentials of Integration Theory for Analysis

An Introduction to Markov Processes Graduate Texts in Mathematics

Probability theory

Lectures on stochastic analysis

A Concise Introduction to Analysis

Partial Differential Equations for Probabilists

Essentials of integration theory for analysis

Partial differential equations for probabalists [sic]

An introduction to partial differential equations for probabilists

Multidimensional diffusion processes

An Introduction to the Analysis of Paths on a Riemannian Manifold (Mathematical Surveys & Monographs)