When I say "Advanced Probability", I mean for a person acquainted with the measure-theoretic foundations of probability theory, that wants to learn about Stochastic Processes from there, in discrete and continuous time (including martingales in discrete and continuous time, martingale convergence theorems, brownian motion). I have a set of lecture notes I am reading but would appreciate some alternative perspectives on the theory. Any textbooks or resources on SDEs would also be very welcome! I appreciate this isn't very advanced theory for some of you, but trying to find an "Advanced" probability textbook is something I have found difficult since its very vague. EDIT: Since this is very broad, I am interested in any textbooks at the early graduate level, with a bend towards applications. Since I am unfamiliar with the field I am unsure on how to pin this down further. As for the opinion based nature of the question, I completely acknowledge this and welcome opinions! Thanks!