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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!

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    @Xingdong: Hi. I think it is possible if you have also done a course in real analysis. Depending on how "mathematically mature" you are it can be quite easy to learn the basics.2011-10-14

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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)