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I have read real and complex analysis, and Probability theory by Feller(Vol1 & 2). What is the next book I should read to go deeper into subtopics of probability theory? Thank you!

Martin Sleziak
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Abir Mukherjee
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    As one answer posted so far demonstrates, this depends very much on the subtopics you are interested in. Any information on this? – Did Oct 13 '14 at 10:16

2 Answers2

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Revuz and Yor: Continuous Martingales and Brownian Motion. Karatzas and Shreve: Brownian Motion and Stochastic Calculus.

Both are indispensable.

Nero
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  • Thanks! After reading Brownian Motion and stochastic calculus, do you think I will be able to handle research papers in the topic? Just curious! :) – Abir Mukherjee Oct 12 '14 at 12:56
  • Nero, what about the other ones here? @AbirMukherjee Probably some. Maybe you want to check out my question –  Jul 29 '15 at 17:30
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Measure Theory and Probability Theory by Athreya, and Probability and Measure by Billingsley

Bhaskar Vashishth
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