Numerical integration of stochastic differential equations

Reference books for numerical approximation of SDEs:

P.E. Kloeden, E. Platen, “Numerical Solution of Stochastic Differential Equations”, second edition, Springer, 1999.

G.N. Milstein, M.V. Tretyakov, “Stochastic Numerics for Mathematical Physics”, Springer, 2004.

D. Higham, P. Kloeden, "An Introduction to the Numerical Simulation of Stochastic Differential Equations", SIAM 2021

Reference books for stochastic calculus:

L.C. Evans, “An Introduction to Stochastic Differential Equations”, AMS, 2013.

H-H. Kuo, “Introduction to Stochastic Integration”, Springer, 2005.

L. Arnold, “Stochastic Differential Equations, Theory and applications”, Dover Publications, 1974.

References for bases of probability theory:

R. C. Dalang et D. Conus, “Introduction à la théorie des probabilités”, 1ère édition, PPUR, 2014.

R. Derrett, “Probability: Theory and Examples“, Cambridge University Press 2010.

A. Gut, “Probability: A Graduate Course”, 2nd édition, Springer, 2013.

Ch.E. Pfister, “Théorie des probabilités”, première édition, PPUR, 2014.

J. Jacod, P. Protter, “Probability essentials”, 2nd edition, Springer, 2004.