The Theory of Stochastic Processes I [Paperback]

From the Reviews: Gihman and Skorohod have done an excellent job of presenting the theory in its present state of rich imperfection. --D.W. Stroock, Bulletin of the American Mathematical Society, 1980

From the Reviews:

Gihman and Skorohod have done an excellent job of presenting the theory in its present state of rich imperfection.
D.W. Stroock in Bulletin of the American Mathematical Society, 1980

To call this work encyclopedic would not give an accurate picture of its content and style. Some parts read like a textbook, but others are more technical and contain relatively new results. ... The exposition is robust and explicit, as one has come to expect of the Russian tradition of mathematical writing. The set when completed will be an invaluable source of information and reference in this ever-expanding field.
K.L. Chung in American Scientist, 1977

The dominant impression is of the authors' mastery of their material, and of their confident insight into its underlying structure.
J.F.C. Kingman in Bulletin of the London Mathematical Society, 1977

I. Basic Notions of Probability Theory.- ? 1. Axioms and Definitions.- ? 2. Independence.- ? 3. Conditional Probabilities and Conditional Expectations.- ? 4. Random Functions and Random Mappings.- II. Random Sequences.- ? 1. Preliminary Remarks.- ? 2. Semi-Martingales and Martingales.- ? 3. Series.- ? 4. Markov Chains.- ? 5. Markov Chains with a Countable Number of States.- ? 6. Random Walks on a Lattice.- ? 7. Local Limit Theorems for Lattice Walks.- ? 8. Ergodic Theorems.- III. Random Functions.- ? 1. Some Classes of Random Functions.- ? 2. Separable Random Functions.- ? 3. Measurable Random Functions.- ? 4. A Criterion for the Absence of Discontinuities oló)