Probability With Martingales Paperback – 1 July 1991

This is a book that I think is a model of mathematical writing. William’s writing, I find, is better than Billingsley’s. The author quickly delivers the most essential results in short chapters that are quite crisply written. Many-a-time I thought adding some concrete examples would have nailed it in terms of clarity. You take what you get.The proofs sometimes need you to fill in small jumps in arguments. I like math books written this way. It forces you to think and evaluate whether you have really understood the proof.Overall, the slimmest book that packs in measure theoretic probability and a beautiful treatment of martingales.