Measure Theory, Probability, and Stochastic Processes

“This book is a good choice for a course introducing both measure theory and probability. It would also be particularly good for self-study by those wishing to see how ideas from measure theory affect our understanding of probability and vice versa. There are exercises at the end of each chapter: some are relatively straightforward, while others expand on topics mentioned briefly in the text.” (Thomas Polaski, Mathematical Reviews, August, 2024)

“This book covers probability theory and stochastic processes at a graduate level. … this book is exceptionally well written in a concise manner and is suitable for individuals with a strong background in undergraduate real analysis and undergraduate probability.” (Eunghyun Lee, zbMATH 1526.60001, 2024)