Designed for the full-time analyst, physicists, engineer, or economist, this book attempts to provide its readers with most of the measure theory they will ever need. Given the choice, the author has consistently opted to develop the concrete rather than the abstract aspects of topics treated. The major new feature of this third edition is the inclusion of a new chapter in which the author introduces the Fourier transform. In that Hermite functions play a central role in his treatment of Parseval's identity and the inversion formula, Stroock's approach bears greater resemblance to that adopted by Norbert Wiener than that used in most modern introductory texts. A second feature is that solutions to all problems are provided. As a self-contained text, this book is excellent for both self-study and the classroom.