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I'm studying markov chains through Durrett and I'm finding it quite hard to read. Does anyone have a good idea to supplementary book, preferably one on his level of generality and which studies some of the same concepts (I need to account for Durrett, so I can't just switch to some other litterature).

I've done measure theory and measure theoretic probability up to stuff like law of large numbers, central limit theorems, conditional expectations, martingales and optional sampling theorems - so I reckon the level of complexity fits to be approximately the next step, so hopefully it's just because he is hard to read.

Hope someone is able to help, I've been struggling with this quite a bit.

best regards,

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Markov chains by Norris –  Artem Jul 11 '12 at 13:38
    
I'll take a look at that, thanks! Any other suggestions? –  Henrik Jul 12 '12 at 9:50
    
There are a lot of other books. I personally prefer The first course in stochastic processes by Karlin and Taylor, mainly because they 1) do not use any measure theory 2) still give detailed and rigorous exposition. –  Artem Jul 12 '12 at 13:39
    
Actually, the courses i have followed and will follow are very measure theory heavy, so that approach falls most natural to me i think. I'll check them out for intuition though. –  Henrik Jul 13 '12 at 0:23

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