The primary reasons for citing sources in a research paper are to give credit to the authors whose work you have drawn upon and to allow readers to track down your sources, should they wish to explore further. Unlike many other disciplines, math does not have a single accepted way of citing resources. Ask your professor if they have a preferred bibliographic style before submitting a paper. Some faculty have no preference, as long as your sources are cited completely and correctly. Or you could mimic the citation style in one of the journals used by your professor.
Many professors are now teaching math students to use variations of BibTeX, which automates managing references for use with LaTeX.