\[ \renewcommand{\P}{\mathop{\mathbb{P}}\nolimits} \newcommand{\E}{\mathop{\mathbb{E}}\nolimits} \newcommand{\var}{\mathop{\rm Var}\nolimits} \newcommand{\cov}{\mathop{\rm Cov}\nolimits} \newcommand{\limsup}{\mathop{\rm limsup}} \newcommand{\liminf}{\mathop{\rm liminf}} \newcommand{\R}{\mathbb{R}} \newcommand{\Q}{\mathbb{Q}} \newcommand{\Z}{\mathbb{Z}} \newcommand{\N}{\mathbb{N}} \newcommand{\C}{\mathbb{C}} \renewcommand{\d}{\, \mathrm{d}} \newcommand{\dP}{\, \mathrm{d}\mathbb{P}} \newcommand{\eps}{\varepsilon} \renewcommand{\emptyset}{\varnothing} \]

References

Grimmett, Geoffrey, and David Stirzaker. 1992. Probability and Random Processes. Second Edition. Oxford university press.

Kallenberg, Olav. 1997. Foundations of Modern Probability. Second Edition. Springer.

Karatzas, Ioannis, and Steven Shreve. 2000. Brownian Motion and Stochastic Calculus. Second Edition. Springer.

Kyprianou, Andreas E. 2014. Fluctuations of Lévy Processes with Applications: Introductory Lectures. Springer Science & Business Media.

Revuz, Daniel, and Marc Yor. 1993. Continuous Martingales and Brownian Motion. Third Edition. Vol. 293. Springer Science & Business Media.

Sato, Ken-Iti. 1999. Lévy Processes and Infinitely Divisible Distributions. Vol. 68. Cambridge university press.

Stroock, Daniel W. 1994. A Concise Introduction to the Theory of Integration. Second Edition. Springer Science & Business Media.

Tankov, Peter. 2003. Financial Modelling with Jump Processes. Chapman; Hall/CRC.

Williams, David. 1991. Probability with Martingales. Cambridge university press.