Classics in Mathematics

From the reviews:

"In the early 1920's, Norbert Wiener wrote significant papers on the Dirichlet problem and on Brownian motion. Since then there has been enormous activity in potential theory and stochastic processes, in which both subjects have reached a high degree of polish and their close relation has been discovered. Here is a momumental work by Doob, one of the masters, in which Part 1 develops the potential theory associated with Laplace's equation and the heat equation, and Part 2 develops those parts (martingales and Brownian motion) of stochastic process theory which are closely related to Part 1". G.E.H. Reuter in Short Book Reviews (1985)

"This huge book written in several years by one of the few mathematicians able to do it, appears as a precise and impressive study (not very easy to read) of this bothsided question that replaces, in a coherent way, without being encyclopaedic, a large library of books and papers scattered without a uniform language. Instead of summarizing the author gives his own way of exposition with original complements. This requires no preliminary knowledge. ...The purpose which the author explains in his introduction, i.e. a deep probabilistic interpretation of potential theory and a link between two great theories, appears fullfilled in a masterly manner". Metrika (1986)

"It is good news that Doob's monumental book is now available at a very reasonable price. The impressive volume (846 pages!) is still the only book concentrating on a thorough presentation of the potential theory of the Laplace operator ... . The material in the chapters on conditional Brownian motion and Brownian motion on the Martin space cannot easily be found in that depth elsewhere. A long appendix on various topics (more than 50 pages) and many historical notes complete this great 'encyclopedia'." (Wolfhard Hansen, Zentralblatt MATH, Vol. 990 (15), 2002)