- Probability Theory III: Stochastic Calculus (Encyclopaedia of Mathematical Sciences)
- Introduction to the Theory of Random Processes (Graduate Studies in Mathematics)
- Lectures on Elliptic and Parabolic Equations in Holder Spaces (Graduate Studies in Mathematics, V. 12)
- Introduction to the Theory of Diffusion Processes (Translations of Mathematical Monographs)
- Nonlinear Elliptic and Parabolic Equations of the Second Order (Mathematics and its Applications)