Books (by topic)

Computing
Asmussen and Glynn - Stochastic Simulation

Probability and Stochastic Processes
Athreya and Lahiri - Measure Theory and Probability Theory
Barbour - An Introduction to Stein's Method
Billingsley - Probability and Measure
Borodin - Handbook of Brownian Motion - Facts and Formulae
Borovkov - Probability Theory
Borovkov - Ergodicity and Stability of Stochastic Processes
Shiryaev - Probability I, II
Pitman - Probability
KL Chung - A Course in Probability Theory
Bremaud - Probability Theory and Stochastic Processes
Cinlar - Probability and Stochastics


Problems in Probability
Shiryaev - Problems in Probability
Mills - Problems in Probability
GAUSSIAN PROCESSES
Lifshits - Lectures on Gaussian Processes
Gramacy - Surrogates, Gaussian Process Modeling
Marcus - Markov Processes, Gaussian Processes and Local Times
Shi - Gaussian Process Regression Analysis for Functional Data
Bobrowski - Functional Analysis for Probability and Stochastic Processes


SDE
Bishwal - Parameter Estimation in Stochastic Differential Equatios

MATRIX ALGEBRA
Horn and Johnson - Matrix Analysis
Gentle - Matrix Algebra
Golub and Loan - Matrix Computations
Graybill - Matrices with Applications in Statistics
Oceanography
G. Vallis : Atmospheric and Oceanic Fluid Dynamics : Fundamentals and Large Scale Circulation
Bennett - Inverse Problams
Pedlosky - Geophysical Fluid Dynamics