- The Malliavin Calculus and Related Topics (Probability and its Applications)
- Malliavin Calculus at Saint-Flour
- A Minicourse on Stochastic Partial Differential Equations (Lecture Notes in Mathematics)
- Barcelona Seminar on Stochastic Analysis: St. Feliu de Guixols, 1991
- Lectures on Probability Theory and Statistics: Ecole d'Ete de Probabilites de Saint-Flour XXV - 1995 (Lecture Notes in Mathematics)