Measure, Integral, Probability & Processes: A Concise Introduction to Probability and Random Processes. Probab(ilistical)ly the Theoretical Minimum by René L. Schilling

In these lecture notes we give a self-contained and concise introduction to the essentials of modern probability theory. The material covers all concepts and techniques usually taught at BSc and first-year graduate level probability courses: Measure & integration theory, elementary probability theory, further probability, classic limit theorems, discrete-time and continuous-time martingales, Poisson processes, random walks & Markov chains, first steps toward simulation & MCMC methods and, finally, first steps towards Brownian motion. The text can serve as a course companion, for self study or as a reference text. Concepts, which will be useful for later chapters and further studies, are introduced early on. The material is organized and presented in a way that will enable the readers to continue their study with any advanced text in probability theory, stochastic processes or stochastic analysis. Much emphasis is put on being reader-friendly and useful, giving a direct and quick start into a fascinating mathematical topic.