Books by Durrett

You can find most of them at Amazon . com

Essentials of Stochastic Processes

(1999) Springer. A one semester introduction to stochastic processes for Master's students or undergraduates who have had one course in probability. Covers Markov chains in discrete and continuous time, Poisson processes, Renewal Theory, Martingales, Brownian motion, and a brief treatment of option pricing Complete contents * Typo List (PDF file)

Stochastic Calculus: A Practical Introduction

(1996) CRC Press. Covers stochastic integration, stochastic differential equations, diffusion processes; gives brief treatments of semigroups and generators and weak convergence. Complete contents * Typo List (PDF file)

The Essentials of Probability

(1994) Duxbury Press. Now out of print. To be replaced by Elementary Probability for Applications

Lecture Notes on Particle Systems and Percolation

(1988) Wadsworth. Exactly what the title says. This book is out of print.

Brownian Motion and Martingales in Analysis

(1984) Wadsworth. Chapters 1, 2, 8, and 9 live on in the Stochastic Calculus book at the top of the list.