Stochastic Processes
by Joseph L. Doob, J.L. Doob · first published 1953
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The theory of stochastic processes has developed so much in the last twenty years that the need for a systematic account of the subject has been felt, particularly by students and instructors of probability. This book fills that need. While even elementary definitions and theorems are stated in detail, this is not recommended as a first text in probability and there has been no compromise with the mathematics of probability. Since readers complained that omission of certain mathematical detail increased the obscurity of the subject, the text contains various mathematical points that might othe
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…applied Lebesgue's work to make probability a solid field of math. Since then Kolmogorov's foundations have been nearly the only one taken seriously in any 'modern' or 'advanced' work in probability, stochastic processes, or mathematical statistics. A good start on a good text in stochastic processes was: J. L. Doob, 'Stochastic Processes', John Wiley and Sons, New York, 1953. Doob was long at University of Illinois.…
on “Suggest good sites/books on probability” ↗…probability and statistics, should mention that Halmos was one of the best in those topics in the US in the 20th century. Halmos was a student of J. Doob at University of Illinois as in: J. L. Doob, 'Stochastic Processes', John Wiley and Sons, New York, 1953. and has a very nice start on probability in: Paul R. Halmos, 'Measure Theory', D. Van Nostrand Company, Inc., Princeton, NJ, 1950. Halmos also wrote: Paul R.…
on “Teachers write their own online textbook, save district $175,000” ↗