I am quite new around here. I am intrested in studying Stochastic Processes and therefore I would like to know if you could recommend me books at an entry-intermediate level.
Thank you very much.
Rogers & Williams
Yor & Revuz
Stroock & Varadhan
There is also Doob's book on potential theory (with its probabilistic counterpart) which is very nice.
I would recommend Rogers and Williams and also (I have never read it) David Williams' book seems to be more easy going then the former. In either case take a look at them on google books before buying.
If your interested in application to Finance:
Amazon.com: Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer…
Primarily, I am looking for an introduction to stochastic processes with finance in mind.
Thank you very much for your suggestions. I googled them and it seems that David Williams book, Probability with martingales, and Rogers and Williams, Diffusions, Markov Processes, and Martingales, look like a right choice to begin with. Shreve's are also really good.