I bought this book not because I needed to learn about Markov processes (I deal with them rather often) but because I wanted a text that discussed time-inhomogeneous Markov processes, however briefly. (I have been told that Doob does this, but I can't ever seem to bring myself to put in the work necessary to really appreciate his stochastic processes book.) Stroock gives a nice treatment of this topic in the context of simulated annealing, which is probably where most people would first encounter it these days.



I have not read most of the rest of the book, but it is clearly a more rigorous treatment than either Norris or Bremaud (both of which are nice for the beginner or non-mathematician), and it requires a bit more mathematical maturity. Nevertheless my sampling indicates that it is well-written. It is probably better suited for the mathematicians and probabilists (or those who will have to deal with more advanced topics later) than for the average user of Markov processes. I would recommend it, along with Williams' wonderful Probability with Martingales, to anyone who wants a really solid yet concise grounding in mathematical probability at the undergraduate level.