I am taking courses about stochastic processes, Markov chains, martingales,(mainly on brownian motion).

My background is Electrical Engineering, where I had an introductory course about probability and statistics from a quite applied point of view. Moreover, almost all I had up to now was discrete probability theory. I was reading a book by rogers and williams on Ito calculus, it requires knowledge about measure theory and martingales. so i wan't to ask what book i can read so that i can read that text smoothly. or as it uses

  • $\begingroup$ Have a look at math.stackexchange.com/q/1158640 and math.stackexchange.com/q/46213 $\endgroup$ – saz Sep 10 '15 at 15:35
  • $\begingroup$ I want to get recommendations on martingales .@saz $\endgroup$ – Nebo Alex Sep 10 '15 at 15:45
  • $\begingroup$ In your question it reads "measure theory and martingales" ... the book by Schilling (which is mentioned in the first question I linked) contains material on martingales. Further literature on martingales: math.stackexchange.com/q/1341723 $\endgroup$ – saz Sep 10 '15 at 15:48

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