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 alte…
My favourite introduction to stochastic processes and stochastic calculus is the book Stochastic Calculus by Paolo Baldi. It is very clear yet precise at the same time, and comes with hundreds of exercises with full solutions prepared. It hits all the important topics - conditional probability, Markov processes, martingale theory, stochastic calculus with respect to Brownian motion, and SDEs. If …
