<br>
My advisor has some vague ideas about the relation between discrete random walks and SDEs, and advise me to read a little bit about them.<br>
To be more precise,  ( if I understand correctly what my professor told me), for some classes of SDEs, we can approach the solution of those SDEs by scaled discrete random walks. <br>
For example,

+ Donsker's theorem gives us a way to construct a Brownian motion by scaled simple symmetric random walks.
+ There is some literature showing that we can approach the Bessel process by some nearest neighbourhood random walks (with suitable scaling and transition probability)

 (To be honest, I'm not even sure if I had wrapped that idea correctly).<br>
However, when I asked for a reference, he gave me "Continous Martingale" by Professor Revuz and Professor Marc Yor which I don't think really related to that subject.<br>
So, I have some references requests that I hope can be helped by the community<br>
**Request**
+ Would you please give me some references on that matter? And if those references are well-written for newcomers, it would be great.
+ Or at least, some references on "Bessel random walk"?

Thank you,

Sincerely,