The Theory of Stochastic Processes I (Classics in Mathematics) (Repr. of the 1974 ed.)

From the Reviews:

\"Gihman and Skorohod have done an excellent job of presenting the theory in its present state of rich imperfection.\"
D.W. Stroock in Bulletin of the American Mathematical Society, 1980

\"To call this work encyclopedic would not give an accurate picture of its content and style. Some parts read like a textbook