A Good Book for Mathematical Probability Theory [duplicate]

probability-theory reference-request book-recommendation measure-theory

I am from mathematical background, and I always hated the way they teach elementary probability theory in schools without giving any clue about measure theory.

I want a theoretical book in probability theory, which starts with measure theory and defines everything in mathematical terms. I am also not looking for a measure theory book. If there is such a book that instead of giving only an intuitive introduction to probability theory, it rather defines everything in details, I would be really grateful to know it.

I would be happy to hear about any reading experience. Being exact in mathematical language and maybe exercises.

Thanks a lot.


Solution 1:

Read Probability Theory and Stochastic Processes with Applications by Oliver Knill.

Solution 2:

Try Probability with Martingales, which I found to be very helpful for self-study. It's a short read but nevertheless concise and uses measure theory to introduce the basic concepts of probability theory.

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