At the same time Doob was supervising Warren Ambrose whose thesis Some properties of measurable stochastic processes was submitted a year later. Doob's next outstanding doctoral student was David Blackwell who entered the University of Illinois in the year Doob was appointed there and completed his doctorate on Properties of Markov chains in 1941. Doob became a full professor at the University of Illinois in 1945. However before this he had a period away from Urbana undertaking war work during World War II.
Sa parehong oras Doob ay nangangasiwa Warren Ambrose na ang ilang mga pag-aari ng tesis ng masusukat na stochastic proseso ay isinumite ng isang taon mamaya. Doob ng susunod na natitirang doktor estudyante ay David Blackwell na ipinasok sa University of Illinois sa taon Doob ay hihirangin at doon natapos ang kanyang titulo ng doktor sa Properties ng Markov chains sa 1941. Doob ay naging isang ganap na propesor sa University of Illinois in 1945. Subalit ito bago siya nagkaroon ng panahon ang layo mula sa Urbana pagsasagawa ng trabaho sa panahon ng digmaan World War II.