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Probabilities and Potential B. Theory of Martingales.
Probabilities and Potential B. Theory of Martingales.
Date: 15 April 2011, 06:37

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This is a classic, read and cited by many. In describing monographs on stochastic processes, Jacod and Shiryaev (1987) call it ``the very complete book", and Ethier and Kurtz (1986) - ``most recent presentation". Actually, it is even difficult to find a serious book on the subject that does not cite the volumes of Dellacherie and Meyer. Despite its age, this monograph is still almost a must for anybody who works in stochastic processes.

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