советское значит отличное
Косма Шализи довольно точно характеризует стиль советской математической литературы:
I. I. Gikhman and A. V. Skorokhod, Introduction to the Theory of Random ProcessesИменно. За это и любим.
This is an "Introduction" for people who are already familiar with measure-theoretic probability (though there is a one-chapter summary, intended as a refresher). It is at once quite thorough, and assumes a high level of mathematical maturity and comfort with abstractions, and very practical, and assumes the reader doesn't mind pages of calculations. (This strikes me as very Soviet.)
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