Brownian Motion (Cambridge Series in Statistical and Probabilistic Mathematics)
"This splendid account of the modern theory of Brownian motion puts special emphasis on sample path properties and connections with harmonic functions and potential theory, without omitting such important topics as stochastic integration, local times or relations with random walk. The most significant properties of  Brownian motion are derived via powerful and elegant methods. This book, which fills a gap in the existing literature, will be of interest both to the beginner, for the clarity of exposition and the judicious choice of topics, and to the specialist, who will find neat approaches to many classical results and to some more recent ones. This beautiful book will soon become a must for anybody who is interested in Brownian motion and its applications."Jean-François Le Gall, Université Paris 11 (Paris-Sud, Orsay)"Brownian Motion" by Moerters and Peres, a modern and attractive account of one of the central topics of probability theory, will serve both as an accessible introduction at the level of a Masters course and as a work of reference for fine properties of Brownian paths. The unique focus of the book on Brownian motion   gives it a satisfying concreteness and allows a rapid approach to some deep results. The introductory chapters, besides providing a careful account of the theory, offer some helpful points of orientation towards an intuitive and mature grasp of the subject matter. The authors have made many contributions to our understanding of path properties, fractal dimensions and potential theory for Brownian motion, and this expertise is evident in the later chapters of the book.   I particularly liked the marking of the `leaves' of the theory by stars, not only because this offers a chance to skip on, but also because these are often the high points of our present knowledge."James Norris, University of Cambridge"This excellent book does a beautiful job of covering a good deal of the theory of Brownian motion in a very user-friendly fashion. The approach is hands-on which makes it an attractive book for a first course on the subject. It also contains topics not usually covered, such as the "intersection-equivalence" approach to multiple   points as well as the study of slow and fast points. Other highlights include detailed connections with random fractals and a short overview of the connections with SLE.Jeff Steif, Chalmers University of Technology"I find the style of this book is extremely user-friendly. I am sure that it will be considered a very gentle introduction to stochastic analysis by many graduate students, and I guess that many established researchers will read some of chapters of this book at bedtime, for pure pleasure."Krzysztof Burdzy for SIAM Review"This is a well-written book guiding the interested reader from the humble beginnings to the cutting edge of current research in Brownian motion. It excels in its careful selection of topics and very clear presentation and, though quite advanced material is presented, never gives the reader the impression of being fraught with technicalities."Rene L. Schilling, Mathematical Reviews"written with enthusiasm for Brownian motion as a beautiful and fascinating object in its own right, yet, still highlighting its central role in so many other contexts."Allan GUT, Journal of the American Statistical Association