Markov Processes for Stochastic Modeling

Controlled Markov Processes and Viscosity Solutions: Stochastic modelling and applied probability, vol 25

Markov Decision Processes: Discrete Stochastic Dynamic Programming (Wiley Series in Probability and Statistics)

Continuous Parameter Markov Processes and Stochastic Differential Equations: 299 (Graduate Texts in Mathematics)

Theory of Markov Processes