[Math] Recommendation on stochastic process books

reference-requeststochastic-processes

I was wondering if someone could recommend good books on stochastic processes

  • with measure theory treatment
  • with not much or no measure theory
    treatment

for each, it would be nice to have some books for introductory level, mid-level to comprehensive level respectively. They can be either classical or recently published, either continuous, discrete or both.

Thanks in advance!

Best Answer

Some good books include:

  • Stochastic Processes by Sheldon Ross (no measure theory)
  • Introduction to Probability Models by Sheldon Ross (no measure theory)
  • Stochastic Processes by J.L.Doob (measure theory)
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