  Let $k$ be an algebraically closed field of characteristic $p > 0$ and let
$G$ be a connected reductive algebraic group over $k$. Under some standard
hypothesis on $G$, we give a direct approach to the finite $W$-algebra
$U(\mathfrak g,e)$ associated to a nilpotent element $e \in \mathfrak g =
\operatorname{Lie} G$. We prove a PBW theorem and deduce a number of
consequences, then move on to define and study the $p$-centre of $U(\mathfrak
g,e)$, which allows us to define reduced finite $W$-algebras $U_\eta(\mathfrak
g,e)$ and we verify that they coincide with those previously appearing in the
work of Premet. Finally, we prove a modular version of Skryabin's equivalence
of categories, generalizing recent work of the second author.
