Continuous Martingales and Brownian Motion (Grundlehren der mathematischen Wissenschaften)

This is a magnificent book! Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems concerning Brownian motion . . . This is THE book for a capable graduate student starting out on research in probability: the effect of working through it is as if the authors are sitting beside one, enthusiastically explaining the theory, presenting further developments as exercises 'BULLETIN OF THE L.M.S.