TITLE: Nice references on Markov chains/processes?
QUESTION [29 upvotes]: I am currently learning about Markov chains and Markov processes, as part of my study on stochastic processes. I feel there are so many properties about Markov chain, but the book that I have  makes me miss the big picture, and I might better look at some other references.
So I would like to know if there are some references with nice treatment on Markov chains/processes? They can be a whole book, some chapters of a book, some lecture notes, some webpages, .... Their approaches can be different, either with or without referring to measure theory (I think a measure-theory approach will be helpful in clarifying things, but I hope it also has some intuitive interpretation),  as long as they have clear organization, and provide both a big picture and cover most of the important topics of Markov chains/processes.
I really appreciate your contribution!

REPLY [2 votes]: While not as advanced as the books mentioned above, if you are looking for examples related to applications of Markov Chains and a nice "brief" treatment you might look at Chapter 5, of Fred Robert's book: Discrete Mathematical Models, Prentice-Hall, 1976.