SDE SGMCMC Literature

SDEs

Good introductions

Introduction to modelling with stochastic differential equations and their inference, Omiros Papaspiliopoulos

Oksendal Stochastic Differential Equations http://www.springer.com/us/book/9783540047582

Numerics of SDEs

Des Higham An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

An Introduction to Stochastic Differential Equations, Lawrence C. Evans

Ben Leimkuhler, Matthews, Charles Molecular Dynamics, With Deterministic and Stochastic Numerical Methods

Where to look references

Markov processes in general

Andreas Eberle, Markov Processes

SGCMCMC literature