I especially like the way the author writes -- the book … This book has been a great help to me in learning measure-theoretic probability.

Wahrscheinlichkeitstheorie by Achim Klenke (ISBN 978-3-642-36018-3) is excellent, if you understand German. Rosenthal is the easiest measure-theoretic book on probability.

Measure-theoretic probability does away with the distinction between continuous and discrete probability, at least from a theory standpoint, and it is an elegant way of thinking about probability in general.

$\endgroup$ – Michael Greinecker ... Best Introductory Probability Theory Book [Non-Measure Theoretic] 0. The Best Books to Learn Probability here is the answer .Probability theory is the mathematical study of uncertainty. 1. The subject itself feels much more like pure math than applied probability, so don't expect it to have a lot of practical utility.

Durrett is more advanced and terrible for self-learning (I would recommend instead : Shiryaev or Klenke or Chung or Borovkov) If Rosenthal is too much for you, have a look at the first chapters in Ferguson - Large Sample Theory
The probability of Cambridge probabilistic mathematics is a probability theory that is measure theoretic. An Introduction to Measure-Theoretic Probability, Second Edition, employs a classical approach to teaching the basics of measure theoretic probability.This book provides in a concise, yet detailed way, the bulk of the probabilistic tools that a student working toward an advanced degree in statistics, probability and other related areas should be equipped with. $\begingroup$ It is a great book, but certainly not for learning about measure theoretic probability for the first time.

What I mean by that is that the book should contain and rigorously address the following topics: Measure Theory (As a mathematical foundation for probability)
A User's Guide to Measure Theoretic Probability (Cambridge Series in Statistical and Probabilistic Mathematics Book 8) - Kindle edition by Pollard, David.

Probability and Stochastics by Erhan Çinlar (ISBN 978-0-387-87858-4) is the best English book on measure theoretic probability theory that I know of. Prerequisites to measure theoretic statistics. I am looking for a book (English only) that I can treat as a reference text (more colloquially as a bible) about probability and is as complete - with respect to an undergraduate/graduate education in Mathematics - as possible. This book covers a number of concepts including central limit their rooms, laws of large numbers, martingales, markov chains, ergodic theorms, Brownian motion and more.

Download it once and read it on your Kindle device, PC, phones or tablets. In particular, Chapter 2 of the book contains a concise yet precise presentation of the basics of measure theory needed for understanding the probability theory. Measure theory for probability theorists.