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on 8 March 2009
The book is very clear in every aspect that it studies. The layout may be a bit confusing, the first chapter is on Brownian motion, and second on measure theory and classical probability. It doesn't assume the reader knows much. The theorems of measure theory are given with proofs when needed. It is a perfect book for a probabilist!
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on 5 October 2005
this is a high level rigorous but comprehensible introduction to continuous time martingales and stochastic calculus. If you want to learn about continuous time martingales, it's the best pure maths account I've found.
Don't think about reading it unless you have already read and understood Williams' "probability and martingales" to which it is a natural sequel. Chung and R. Williams book is also a useful companion book for the stochastic integration theory.
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on 21 April 2012
This book is excellent if you have the right background. The treatment is just as elegant as in Probability with Martingales. Highly recommended.
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on 22 November 2003
This book suffers from a catastrophic failure of the authors to define their notation and the terms they use. Nor do they bother to indicate what prior knowledge is assumed. I think it unlikely that anyone without a degree in mathematics and some post-graduate experience of statistical theory will get further than the third sentence of the introduction.
Having said that, if you do have the requisite background, you will be impressed by the scholarship, intuition and density of information.
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