- A Concise Introduction to the Theory of Integration (Series in Pure Mathematics) (Series in Pure Mathematics)
- Partial Differential Equations for Probabilists
- Lectures on Stochastic Analysis: Diffusion Theory
- An Introduction to the Theory of Large Deviations (Universitext)
- Ecole d'Ete de Probabilites de Saint-Flour XI, 1981 (Lecture Notes in Mathematics)






















